impact of fii on sensex & nifty

AN ASSIGNMENT ON

IMPACT OF FII FLOW ON THE BSE SENSEX AND NIFTY

SUBMITTED BY:

SOUMITA PATRA-67

DIPTAKSHYA BANERJEE-76

AVIJIT BHATTACHARYYA-91

PRITAM PRIYADARSHINI DASH- 122

SUBMITTED TO: PROF. MANOJ KUMAR SAHOO

SENSEX & FII

FII: Foreign Institutional Investor (FII) is used to denote an investor - mostly of

the form of an institution or entity, which invests money in the financial markets of a country different from the one where in the institution or entity was originally incorporated.FII investment is frequently referred to as hot money for the reason that it can leave the country at the same speed at which it comes in. In countries like India, statutory agencies like SEBI have prescribed norms to register FIIs and also to regulate such investments flowing in through FIIs. FEMA norms includes maintenance of highly rated bonds (collateral) with security exchange.

SENSEX: Index of top 30 highly liquid companies listed in BSE. All companies selected in Sensex depends on various technical factor like size, volume, company’s past performances and various other factors.But that 30 companies should represent almost all sectors of India.Sensex(Index of BSE) is calculated usingthe weighted average method using Listed Companies market capitalization.The Sensex moves up and down based on movement of 30 companies share prices listed in BSE sensitivity index.The reasons of the rise and fall of the Sensex may be due to macro-level or micro-level factors such as Government policies, Inflation rate, FDI & FII etc.In our research ,we have only considered the FII factor to find out that is there any impact of the FII on the movement of Sensex.So, we have taken the help of the Regression and Correlation tools to measure it.

HYPOTHESES TESTING:

Null (Ho):There is no association between Sensex/Nifty and FII

[ Ho: β = 0]

Alternate (Ha):There is an association between Sensex /Nifty and FII

[Ha : β ≠ 0]

Year 1997-2008 – (Overall regression analysis and correlation between SENSEX and FII):

Data of SENSEX and FII from 1997-2008

sensex FII log sensex

feb,08 17578.7 -8991 9.774443221mar 15644.4 -1643 9.657868304apr 17287.3 20238 9.757727407may 16415.6 -1432 9.705987381jun 13461.6 -734 9.507596467jul 14355.8 -3011 9.571909321aug 14564.5 -499 9.58634234sep 12860.4 464 9.461908102oct 9788.06 -1403 9.188918554nov 9092.72 -5250 9.115229372dec 9647.31 -574 9.174434399jan'07 14090.9 2385 9.553284478feb 12938.1 -2433 9.467931726apr 13872.4 1963 9.537656534may 14544.5 1847 9.584968194jun 14650.5 3279 9.592229744jul 15551 4685 9.651880224aug 15318.6 -3323 9.636823055sep 17291.1 7057 9.757947197oct 19838 6833 9.895354569nov 19363.2 -265 9.871129636dec 20287 2396 9.917735566jan'06 9919.89 1692 9.202297112feb 10370.2 685 9.246691587apr 11851.9 3276 9.380243471

may 10398.6 -3906 9.249426461jun 10609.3 -1157 9.269486254

jul 10743.9 -595 9.282093431aug 11699.1 1212 9.367267195sep 12454.4 1064 9.429829253

oct 12961.9 1703 9.469769564nov 13696.3 2159 9.524881002dec 13786.9 -507 9.531474145apr'05 6154.44 -299 8.724929052may 6715.11 -470 8.81211549jun 7193.85 1313 8.880981773jul 7635.42 1746 8.940553226aug 7805.43 1204 8.962574924sep 8634.48 1035 9.063518769oct 7892.32 -469 8.973645414nov 8788.81 -17 9.0812346dec 9397.93 2122 9.148244731jan'04 5695.67 2390 8.647461516feb 5667.51 1421 8.642505147apr 5655.09 -350 8.640311304may 4759.62 -503 8.467923112jun 4795.46 1288 8.475424916jul 5170.32 1645 8.550689861aug 5192.08 1139 8.554889667sep 5583.61 1008 8.6275908oct 5672.27 4227 8.643344669apr'03 2959.79 846 7.992873599may 3180.75 -457 8.064872297jun 3607.13 -477 8.190667721jul 3792.61 -432 8.240809715aug 4244.73 448 8.353433492sep 4453.24 411 8.4013872oct 4906.87 807 8.498391543nov 5044.82 2808 8.526117253dec 5838.96 746 8.672307978Jan' 02 3311.03 131 8.105014598Feb 3562.31 279 8.17816449Mar 3469.35 276 8.151722536Apr 3338.16 -73 8.113175036May 3125.73 87 8.047423135Jun 3244.7 -272 8.084778175Jul 2987.65 43 8.002242404Aug 3181.23 -33 8.065023193Sep 2991.36 -131 8.003483412Oct 2949.32 -9 7.989329914Nov 3228.82 -184 8.079872024Dec 3377.28 53 8.124825931Jan' 01 4326.72 444 8.372565028

Feb 4247.02 668 8.35397284Mar 3604.38 354 8.189905052Apr 3519.16 229 8.165977604May 3631.91 265 8.19751396Jun 3456.78 138 8.148092799Jul 3329.28 125 8.110511343Aug 3244.95 116 8.084855221Sep 2811.6 -179 7.941508995Oct 2989.35 35 8.002811251Nov 3287.56 70 8.097900927Dec 3262 28 8.090095783Jan' 2000 5205.29 129 8.557430695Feb 5446.98 477 8.602816606Mar 5001.28 342 8.517449159Apr 4657.55 349 8.446244838May 4433.61 155 8.39696943Jun 4748.77 -160 8.465640916Jul 4279.86 -194 8.361675578Aug 4477.31 75 8.406777699Sep 4090.38 235 8.316393154Oct 3711.02 -271 8.21906205Nov 3997.99 78 8.293547014Dec 3972.12 114 8.287055236Jan' 98 3224.36 62 8.07848976Feb 3622.22 44 8.194842377Mar 3892.75 256 8.266871128Apr 4006.81 457 8.295750692May 3686.39 343 8.212402938Jun 3250.69 42 8.08662256Jul 3211.31 233 8.074434233Aug 2933.85 33 7.984070833Sep 3102.29 -154 8.039895827Oct 2812.49 -100 7.941825491Nov 2810.66 -23 7.94117461Dec 3055.41 356 8.024669069Apr'97 3841.11 -31 8.253516666May 3755.1 -115 8.230870195Jun 4256.09 -269 8.356106177Jul 4305.76 -26 8.36770894Aug 3876.08 -48 8.262579613Sep 3902.03 -43 8.26925221Oct 3803.24 -140 8.243608614

Nov 3560.29 -50 8.177597281

Regression Model 1: Sensex = a+bFII (for the year 1997 to 2008)

feb,08 apr jun oct may Jun Jul Aug Sep

-15000

-10000

-5000

0

5000

10000

15000

20000

25000

sensexFII

SUMMARY OUTPUT

Regression StatisticsMultiple R 0.21084303R Square 0.044454783Adjusted R Square 0.036072808Standard Error 4665.921751Observations 116

ANOVA

df SS MS FSignificance

FRegression 1 115464108.6 115464108.6 5.303616 0.023095022Residual 114 2481874140 21770825.79Total 115 2597338248

Coefficients Standard Error t Stat P-value Lower 95%Intercept 6875.450658 440.4479733 15.61013122 4.45E-30 6002.926644X Variable 1 0.386253228 0.167720469 2.302958184 0.023095 0.05400028

MEAN OF SENSEX

SD OF SENSEX CV OF SENSEX7058.458103 4731.896762 67.03867464

MEAN OF FII SD OF FII CV OF FII473.8017241 2582.987992 545.1622189

Regression Analysis: The significance level is 0.023095022 which is less than the alpha value of 0.05.So we can conclude that at a confidence level of 95 percent the null hypothesis is to be rejected, and that FII has a significant impact on the SENSEX.

Correlation: The R-square value is 0.044454783.So there is a negligible correlation between SENSEX and FII.

Year 2003-2008 – (Overall regression analysis and correlation between SENSEX and FII):

Data of SENSEX and FII from 2003-2008

YEAR sensex FII log sensex

feb,08 17578.7 -8991 9.774443221mar 15644.4 -1643 9.657868304apr 17287.3 20238 9.757727407may 16415.6 -1432 9.705987381jun 13461.6 -734 9.507596467jul 14355.8 -3011 9.571909321aug 14564.5 -499 9.58634234sep 12860.4 464 9.461908102oct 9788.06 -1403 9.188918554nov 9092.72 -5250 9.115229372dec 9647.31 -574 9.174434399jan'07 14090.9 2385 9.553284478feb 12938.1 -2433 9.467931726apr 13872.4 1963 9.537656534may 14544.5 1847 9.584968194jun 14650.5 3279 9.592229744jul 15551 4685 9.651880224aug 15318.6 -3323 9.636823055

sep 17291.1 7057 9.757947197oct 19838 6833 9.895354569nov 19363.2 -265 9.871129636dec 20287 2396 9.917735566jan'06 9919.89 1692 9.202297112feb 10370.2 685 9.246691587apr 11851.9 3276 9.380243471may 10398.6 -3906 9.249426461jun 10609.3 -1157 9.269486254jul 10743.9 -595 9.282093431aug 11699.1 1212 9.367267195sep 12454.4 1064 9.429829253oct 12961.9 1703 9.469769564nov 13696.3 2159 9.524881002dec 13786.9 -507 9.531474145apr'05 6154.44 -299 8.724929052may 6715.11 -470 8.81211549jun 7193.85 1313 8.880981773jul 7635.42 1746 8.940553226aug 7805.43 1204 8.962574924sep 8634.48 1035 9.063518769oct 7892.32 -469 8.973645414nov 8788.81 -17 9.0812346dec 9397.93 2122 9.148244731jan'04 5695.67 2390 8.647461516feb 5667.51 1421 8.642505147apr 5655.09 -350 8.640311304may 4759.62 -503 8.467923112jun 4795.46 1288 8.475424916jul 5170.32 1645 8.550689861aug 5192.08 1139 8.554889667sep 5583.61 1008 8.6275908oct 5672.27 4227 8.643344669apr'03 2959.79 846 7.992873599may 3180.75 -457 8.064872297jun 3607.13 -477 8.190667721jul 3792.61 -432 8.240809715aug 4244.73 448 8.353433492sep 4453.24 411 8.4013872oct 4906.87 807 8.498391543nov 5044.82 2808 8.526117253dec 5838.96 746 8.672307978

MEAN 10396.14237 853.3050847Regression Model 2: Sensex = a+bFII (for the year 2003 to 2008)

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 580

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

sensexFIIYEAR

SUMMARY OUTPUT


ANOVA df SS MS F Significance F

Regression 130966998.9

430966998.9

41.38089666

6 0.244750177

Residual 58 130066643122425283.2

9Total 59 1331633430

Coefficient

sStandard

Error t Stat P-value Lower 95%Intercept 10052.94 628.225655 16.0021115 6.12076E- 8795.406755

7 23

X Variable 1 0.2025260.17234571

91.17511559

70.24475017

7 -0.142461294

CV OF SENSEX 46.12110148CV OF FII 422.8181573

Regression Analysis: The significance level is 0.244750177 which is greater than the alpha value of 0.05.So we can conclude that at a confidence level of 95 percent the null hypothesis should be accepted, and that FII has no significant impact on the SENSEX.

Correlation: The R-square value is 0.023255.So there is a negligible correlation between SENSEX and FII.

Year 2008

Year wise Details impact on FII on SENSEX 2008

Regression Model 3: Sensex = a+bFII (for the year 2008)

feb,08 mar apr may jun jul aug sep oct nov dec

-15000

-10000

-5000

0

5000

10000

15000

20000

25000

sensexFII

SUMMARY OUTPUT

Regression Statistics

Multiple R0.26787561

3

R Square0.07175734

4Adjusted R Square -0.03138073

Standard Error3113.04675

7Observations 11


Regression 1 6742463.899 6742463.899 0.695740592 0.425802804Residual 9 87219541.02 9691060.114Total 10 93962004.92

Coefficients Standard Error t Stat P-value Lower 95%

Intercept13728.6219

9 939.2603999 14.61641734 1.41244E-07 11603.86736

X Variable 10.11232872

8 0.134668856 0.834110659 0.425802804 -0.192313388

MEAN OF sensex SD of Sensex COFFICIENT OF VARIATION OF SENSEX13699.67182 2922.670089 21.33386936

MEAN OF FII SD of FII COFFICIENT OF VARIATION OF FII -257.7272727 6969.829137 -2704.342875

Regression Analysis: The significance level is 0.425802804 which is higher than the alpha value of 0.05. So we can conclude that at a confidence level

of 95 percent the null hypothesis cannot be rejected, and that FII has no impact on the SENSEX .

Correlation: The R-square value is 0.071757344 .So there is a negligible correlation between SENSEX and FII.

YEAR 2007


jan'07 feb apr may jun jul aug sep oct nov dec

-5000

0

5000

10000

15000

20000

25000

Series1Series2

SUMMARY OUTPUT



Regression 1 9606641.041 9606641.041 1.481611488 0.25447517Residual 9 58355223.4 6483913.712

Total 10 67961864.45

CoefficientsStandard

Error t Stat P-value Lower 95%Intercept 15504.54006 937.1439469 16.54445948 4.80294E-08 13384.57317X Variable 1 0.294602005 0.242029626 1.217214643 0.25447517 -0.252907046

MEAN OF SENSEX SD OF SENSEX CV OF SENSEX

16158.66364 2485.628957 15.38263939

MEAN OF FII SD OF FII CV OF FII

2220.363636 3172.150182 142.8662463

Regression Analysis: The significance level is 0.25447517 which is higher than the alpha value of 0.05. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected, and that FII has no impact on the SENSEX .

Correlation: The R-square value is 0.14135340. So there is a negligible correlation between SENSEX and FII.

YEAR 2006



-5000

0

5000

10000

15000

Series1Series2

SUMMARY OUTPUT







11681.12636 1323.067635 11.32654159


511.4545455 1872.186634 366.0514216



YEAR 2005


apr'05 may jun jul aug sep oct nov dec

-2000

0

2000

4000

6000

8000

10000

SensexFII

SUMMARY OUTPUT

Regression StatisticsMultiple R 0.49445385R Square 0.24448461Adjusted R Square 0.13655384


2Observations 9



2 2081874.002 2.265198421 0.176025491

Residual 76433484.09

6 919069.1566

Total 88515358.09

8


Error t Stat P-value Lower 95%

Intercept7454.78031

7 394.125638 18.91473073 2.8707E-07 6522.821276


50.33676849

3 1.505057614 0.176025491 -0.289474961

MEAN OF SENSEXSD OF SENSEX CV OF SENSEX

7801.976667 972.7028836 12.46739032


685 948.9020556 138.5258475



YEAR 2004


jan'04 feb apr may jun jul aug sep oct-1000

0

1000

2000

3000

4000

5000

6000

7000

SensexFII

SUMMARY OUTPUT



Regression 1 207553.5 207553.4822 1.486540683 0.262239304Residual 7 977352.6 139621.7975Total 8 1184906

Coefficients Standard Error t Stat P-value Lower 95%Intercept 5199.112 178.2767 29.16315526 1.43502E-08 4777.554089

X Variable 1 0.114115 0.093596 1.219237747 0.262239304 -0.107203304


5354.625556 362.8446354 6.776284012


1362.777778 1330.758495 97.65043993



YEAR 2003


apr'03 may jun jul aug sep oct nov dec-1000

0

1000

2000

3000

4000

5000

6000

7000

Series1Series2

SUMMARY OUTPUT







4225.433333 885.3334806 20.95248962


522.2222222 963.0119161 184.4065371

Regression Analysis: The significance level is 0.144704643 which is higher than the alpha value of 0.05. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected, and that FII has no impact on the SENSEX.

Correlation: The R-square value is 0.277934969. So there is not such significant correlation between SENSEX and FII.

REGRESSION & CORRELATION ANALYSIS FOR TWO YEAR PERIOD

YEAR 2007-08

Regression Model 9: Sensex = a+bFII (for the year 2007-08)

feb,08

mar apr

may jun julau

gsep oct nov

decjan

'07 feb apr

may jun julau

gsep oct nov

dec

-15000

-10000

-5000

0

5000

10000

15000

20000

25000

sensexFII

SUMMARY OUTPUT


Multiple R0.3465637

7

R Square0.1201064

4

Adjusted R Square0.0761117

7


3

Observations 22

ANOVA

df SS MS F Significance F

Regression 1 23442423.03 23442423.032.73002213

3 0.114091671

Residual 20 171737970.5 8586898.526

Total 21 195180393.6


Intercept14746.806

9 634.4249095 23.24436927 6.01522E-16 13423.4197


5 0.112470517 1.6522778620.11409167

1 -0.048776841

MEAN OF SENSEX SD OF SENSEX CV OF SENSEX14929.16773 2978.562753 19.95129807




YEAR 2005-06

Regression Model 10: Sensex = a+bFII (for the year 2005 –06)

jan'06 feb ap

rmay jun jul

aug

sep oct novdec

apr'0

5may jun jul

aug

sep oct novdec

-5000

0

5000

10000

15000

Series2

SUMMARY OUTPUT

Regression StatisticsMultiple R 0.15281721R Square 0.0233531Adjusted R Square -0.0309051Standard Error 2355.48457Observations 20


Regression 1 2388031.161 2388031.1610.43040713

4 0.520088132Residual 18 99869536.32 5548307.573Total 19 102257567.5


X Variable 1 0.22586896 0.344283993 0.6560542160.52008813

2 -0.497444862

MEAN OF SENSEX SD OF SENSEX CV OF SENSEX9935.509 2261.16748 22.7584463




YEAR 2003-04

Regression Model 11: Sensex = a+bFII (for the year 2003-04)

jan'04

feb apr may jun jul aug sep oct apr'03

may jun jul aug sep oct nov dec-1000

0

1000

2000

3000

4000

5000

6000

7000

sensexFII

SUMMARY OUTPUT


Multiple R 0.5173024

R Square 0.26760178

Adjusted R Square 0.22182689

Standard Error 799.874608

Observations 18

ANOVA

df SS MS F Significance F

Regression 1 3740292.027 3740292.027 5.846038762 0.027908504

Residual 16 10236790.22 639799.3888

Total 17 13977082.25


Intercept 4442.21253 237.1459142 18.73198004 2.62052E-12 3939.485654

X Variable 1 0.36903651 0.152629504 2.417858301 0.027908504 0.045476421


4790.029444 881.1949667 18.39644154


942.5 1235.228105 131.0586849

Regression Analysis: The significance level is 0.027908404 which is less than the alpha value of 0.05.So we can conclude that at a confidence level of 95 percent the null hypothesis is to be rejected, and that FII has a significant impact on the SENSEX.

Correlation: The R-square value is 0.0233531. So there is not strong correlation between SENSEX and FII.

REGRESSION & CORRELATION ANALYSIS BETWEEN THE CV OF SENSEX AND CV OF FII (2003-2008)

The Co-efficient of Variation (CV) measures the volatility. The CV of FII measures the volatility of the FII whereas the CV of the SENSEX measures the volatility of the SENSEX.

Regression and CV of SENSEX and FII

YEARCV OF SENSEX CV OF FII

2008 21.33 -2704.34

2007 15.38 142.86

2006 11.32 366.05

2005 12.46 138.52

2004 6.77 97.65

2003 20.95 184.4

SUMMARY OUTPUT


ANOVA df SS MS F

Regression 1 51.52543912 51.52543912 1.852046622Residual 4 111.2832442 27.82081105

Total 5 162.8086833


Error t Stat P-valueIntercept 13.89943053 2.232554594 6.225796481 0.003389507

X Variable 1 -0.002711998 0.001992799-

1.360899196 0.245173461


Correlation: The R-square value is 0.316478446. So there is not strong correlation between SENSEX and FII.

NIFTY AND FII

NIFTY: S&P CNX Nifty is a well diversified 50 stock index accounting for 21 sectors of the economy. It is used for a variety of purposes such as benchmarking fund portfolios, index based derivatives and index funds.

S&P CNX Nifty is owned and managed by India Index Services and Products Ltd. (IISL), which is a joint venture between NSE and CRISIL. IISL is India's first specialised company focused upon the index as a core product. IISL has a Marketing and licensing agreement with Standard & Poor's (S&P), who are world leaders in index services.

The traded value for the last six months of all Nifty stocks is approximately 44.89% of the traded value of all stocks on the NSE Nifty stocks represent about 58.64% of the total market capitalization as on March 31, 2008. Impact cost of the S&P CNX Nifty for a portfolio size of Rs.2 crore is 0.15% S&P CNX Nifty is professionally maintained and is ideal for derivatives trading

The NIFTY moves up and down based on movement of 50 companies share prices listed in NSE sensitivity index.The reasons of the rise and fall of the Sensex may be due to macro-level or micro-level factors such as Government

policies, Inflation rate, FDI & FII etc.In our research ,we have only considered the FII factor to find out that is there any impact of the FII on the movement of NIFTY.So, we have taken the help of the Regression and Correlation tools to measure it.

REGRESSION & CORRELATION ANALYSIS BETWEEN NIFTYAND FII

OVERALL (2002-2008):

Data of NIFTY and FII from 2002-08

year FII NIFTY LOG OF NIFTY

feb,08 -8991 5223.5 8.560922954mar -1643 4734.5 8.462631403apr 20238 5165.9 8.549834616may -1432 4870.1 8.49086975jun -734 4040.55 8.3041361jul -3011 4332.95 8.374003882aug -499 4360 8.380227336sep 464 3929.12 8.276170761oct -1403 2885.6 7.96748813nov -5250 2755.1 7.921209019dec -574 2959.55 7.992792509jan'07 2385 3745.3 8.228257feb -2433 3821.55 8.248411378apr 1963 4087.9 8.31578667

may 1847 4295.8 8.36539308jun 3279 4318.3 8.370617085jul 4685 4528.85 8.418223323aug -3323 4464.4 8.403890106sep 7057 5021.35 8.521454101oct 6833 5900.65 8.682817793nov -265 5762.75 8.65917007dec 2396 6138.6 8.722351982jan'06 1692 3001.1 8.006734167feb 685 3074.7 8.030962615apr 3276 3508.1 8.162829859

may -3906 3185.3 8.066301755jun -1157 3128.2 8.048213038

jul -595 3143.2 8.052996668aug 1212 3413.9 8.135610612sep 1064 3588.4 8.1854617oct 1703 3744.1 8.227936547nov 2159 3954.5 8.28260945dec -507 3966.4 8.285614161apr'05 -299 1902.5 7.55092409may -470 2087.55 7.643746409jun 1313 2220.6 7.705532709jul 1746 2312.3 7.745997979aug 1204 2384.65 7.776807642sep 1035 2601.4 7.863805041oct -469 2370.95 7.771045998nov -17 2652.25 7.883163615dec 2122 2836.55 7.950343804jan'04 2390 1800.3 7.495708597feb 1421 1779.9 7.484312462apr -350 1796.1 7.493372927may -503 1483.6 7.302226846jun 1288 1505.6 7.316946769jul 1645 1632.3 7.397745342aug 1139 1631.75 7.397408338sep 1008 1745.5 7.464796327oct 4227 1800.1 7.495597498apr'03 846 934.05 6.83952997may -457 1006.8 6.914532263jun -477 1134.15 7.033638751jul -432 1185.85 7.078215096aug 448 1356.55 7.212699991

sep 411 1417.1 7.256367809oct 807 1555.9 7.349809435nov 2808 1615.25 7.387245022dec 746 1897.75 7.548424253Aug,02 -33 1010.6 6.918299493Sep -131 963.15 6.870209163Oct -9 951.4 6.857934584Nov -184 1049.7 6.956259688Dec 53 1093.5 6.99713884

Regression Model 12: NIFTY = a+bFII (for the year 2002 to 2008)

may sepjan

'07 jun oct feb julnov jun oct feb jul

apr'0

3au

gdec Nov

-15000

-10000

-5000

0

5000

10000

15000

20000

25000

FIINIFTY

SUMMARY OUTPUT


ANOVA


FRegression 1 3579299.314 3579299.314 1.786783 0.18612593Residual 63 126202140.2 2003208.575Total 64 129781439.5


X Variable 1 0.068682765 0.051382099 1.33670608 0.186126-

0.033996167

MEAN OF NIFFTY SD OF NIFFTY CV OF NIFFTY132.34375 427.7595418 323.218544


Regression Analysis: The significance level is 0.18612573 which is higher than the alpha value of 0.05. So we can conclude that at a confidence level of 95 percent the null hypothesis cannot be rejected, and that FII has no impact on the NIFTY.

Correlation: The R-square value is 0.027579439. So there is not strong correlation between NIFTY and FII.

REGRESSION & CORRELATION ANALYSIS BETWEEN NIFTYAND FII

YEAR 2008

Regression Model 13: NIFTY = a+bFII (for the year 2008)

feb,08 mar apr may jun jul aug sep oct nov dec

-15000

-10000

-5000

0

5000

10000

15000

20000

25000

FIINIFTY

SUMMARY OUTPUT



9

R Square0.07389455

5Adjusted R Square -0.02900605Standard Error 914.679559Observations 11

ANOVA


F

Regression 1 600803.5600803.501

60.71811584

20.41872697

1

Residual 9 7529748836638.695

7Total 10 8130552



Intercept4122.90278

7 275.974714.9394205

3 1.16845E-07 3498.60454


6 0.0395690.84741715

90.41872697

1 -0.05597926

MEAN OF NIFTY SD OF NIFTY CV OF NIFTY

4114.260909 859.7331385 20.8964175

5

MEAN OF IIF SD OF IIF CV OF FII

-257.7272727 6969.829137 -2704.342875



YEAR 2007



-4000

-2000

0

2000

4000

6000

8000

Series1Series2

SUMMARY OUTPUT



4

R Square0.14135340

6Adjusted R Square

0.045948229


1Observations 11

ANOVA

df SS MS FSignificanc

e F


515646112.3

51.48161148

80.2544751

7

Residual 9 95041792.210560199.1

3

Total 10110687904.

5



Intercept -5532.74776444.47082

3

-0.85852630

10.41288211

5

-20111.153

5


90.39418801

11.21721464

3 0.25447517

-0.4119038

1

Nifty FII

MEAN 16158.66364 2220.363636

SD 2485.628957 3172.150182

CV 15.38263939 142.8662463



YEAR 2006


jan'06 feb apr may jun jul aug sep oct nov

-5000

-4000

-3000

-2000

-1000

0

1000

2000

3000

4000

5000

Series1Series2Series3Series4

SUMMARY OUTPUT


Standard Error 729.5645734Observations 10

ANOVA


F

Regression 1 756900.6958 756900.69581.42203874

80.26723585

5Residual 8 4258115.734 532264.4668Total 9 5015016.43



Intercept 4412.500671 276.7073739 15.94645133 2.39587E-073774.41232

3

X Variable 1 0.082705797 0.069355393 1.1924926610.26723585

5

-0.07722802

5

MEAN 4594.685 2202.8

SD 708.1678071 3326.469173

CV 15.41276077 151.0109485



YEAR 2005



-1000

-500

0

500

1000

1500

2000

2500

3000

3500

Series1Series2

SUMMARY OUTPUT


ANOVA




X Variable 1 0.146968849 0.093872464 1.565622575 0.161417704-

0.075004256

MEAN 2374.305556 685.00

SD 273.8435304 948.9020556

CV 11.53362632 138.5258475



YEAR 2004


jan'04 feb apr may jun jul aug sep oct-1000

0

1000

2000

3000

4000

5000

Series1Series2

SUMMARY OUTPUT



ANOVA


F

Regression 1 24753.00108 24753.001081.64790407

90.24010144

2Residual 7 105146.2945 15020.89921Total 8 129899.2956



Intercept 1632.422314 58.47442741 27.91685847 1.94369E-081494.15226

5

X Variable 1 0.03940882 0.030699229 1.2837071630.24010144

2

-0.03318332

1

MEAN 1686.127778 1362.777778SD 120.1384829 1330.758495CV 7.12511142 97.65043993



YEAR 2003



-1000

-500

0

500

1000

1500

2000

2500

3000

Series1Series2

SUMMARY OUTPUT


ANOVA


F

Regression 1 219414.9228 219414.9228 2.732884130.14228009

4Residual 7 562008.6277 80286.94682Total 8 781423.5506



Intercept 1260.151061 107.4433946 11.72851125 7.41271E-061006.08780

5

X Variable 1 0.162136265 0.098077538 1.6531437110.14228009

4 -0.06978026

2003

NIFTY

FIIMEAN 1344.822222 522.2222222SD 294.6605487 963.0119161CV 21.91074358 184.4065371



YEAR 2002


Aug,02 Sep Oct Nov Dec

-400

-200

0

200

400

600

800

1000

1200

Series1Series2

SUMARRY OUTPUT

Regression StatisticsMultiple R 0.215054448

R Square 0.046248416Adjusted R Square

-0.271668779


ANOVA


F

Regression 1 652.5761533 652.57615330.145473

10.72830965

3Residual 3 13457.66185 4485.887282Total 4 14110.238


Intercept 1021.798242 36.76056339 27.796044120.000102

2904.809722

6

X Variable 1 0.133688186 0.350510966 0.3814094260.728309

7 -0.98179414

2002 NIFTY FIIMEAN 1013.67 -60.8SD 53.12294796 85.45501741CV 5.240655042 -140.5510155


Correlation: The R-square value is 0.046248416. So there is negligible correlation between NIFTY and FII.

REGRESSION & CORRELATION ANALYSIS BETWEEN THE CV OF NIFTY AND CV OF FII (2002-2008)

REGRESSION OF CV OF NIFTY AND FII

YEAR CV OF NIFTY CV OF FII

2008 20.89 -2704.34

2007 15.38 142.86

2006 15.41 151.01

2005 11.53 138.53

2004 7.13 97.65

2003 21.91 184.4

2002 5.24 -140.55

SUMMARY OUTPUT



2

R Square0.16838875

7Adjusted R Square

0.002066509


3Observations 7

ANOVA



Coefficients Standard Error t Stat P-value Lower 95%Intercept 13.1786249 2.519777927 5.230074 0.003381526 6.701329534

X Variable 1 -0.00245941 0.002444272 -1.006193 0.360504852-

0.008742612


Correlation: The R-square value is 0.168388757. So there is not so correlation between NIFTY and FII.

CONCLUSION:

As per our research we have found out that in the case of the overall regression analysis for both the starting year1997 till the year 2008, and the year 2003 to 2004, there is a significant relation between the FII and the SENSEX. Except for these two cases, all other years for e.g.2003-2008, 2003, 2004, 2005, 2006 etc it was found that the there is no significant relationship between the FII and the SENSEX.As the nature of our data is on the monthly basis, so we are not able to track the significant relation between SENSEX and FII due to lack of availability of daily data.

As we know the FII is not only the sole factor that influences the SENSEX movement, the SENSEX is also influenced by Govt. policy, inflation rate, political environment etc. So, from our research it came out that in almost all the cases there is no significant relation between the FII flow and the SENSEX movement.

BIBLIOGRAPHY

www.rbi.org.in

www.bseindia.com

www.nseindia.com

www.econstats.com

www.google.co.in

www.wikipedia.org

http://www.wikipedia.org/

http://www.google.co.in/

http://www.econstats.com/

http://www.nseindia.com/

http://www.bseindia.com/

http://www.rbi.org.in/

impact of fii on sensex & nifty

Education

bse sensex

fii ho

fii ha

fii factor

movement of sensex

fdi fii

correlationbetween sensex

sensex nifty