1. AN ASSIGNMENT ON<br /> <br />IMPACT OF FII FLOW ON THE BSE SENSEX AND NIFTY<br /> SUBMITTED BY:<br /> SOUMITA PATRA-67<br /> DIPTAKSHYA BANERJEE-76<br /> AVIJIT BHATTACHARYYA-91<br /> PRITAM PRIYADARSHINI DASH- 122<br />SUBMITTED TO: PROF. MANOJ KUMAR SAHOO<br />SENSEX & FII<br />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.<br />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.<br />HYPOTHESES TESTING:<br />Null (Ho):There is no association between Sensex/Nifty and FII <br /> [ Ho: β = 0]<br />Alternate (Ha):There is an association between Sensex /Nifty and FII <br /> [Ha : β ≠ 0]<br />Year 1997-2008 – (Overall regression analysis and correlation between SENSEX and FII):<br /> Data of SENSEX and FII from 1997-2008<br />sensexFIIlog sensexfeb,0817578.7-89919.774443221mar15644.4-16439.657868304apr17287.3202389.757727407may16415.6-14329.705987381jun13461.6-7349.507596467jul14355.8-30119.571909321aug14564.5-4999.58634234sep12860.44649.461908102oct9788.06-14039.188918554nov9092.72-52509.115229372dec9647.31-5749.174434399jan'0714090.923859.553284478feb12938.1-24339.467931726apr13872.419639.537656534may14544.518479.584968194jun14650.532799.592229744jul1555146859.651880224aug15318.6-33239.636823055sep17291.170579.757947197oct1983868339.895354569nov19363.2-2659.871129636dec2028723969.917735566jan'069919.8916929.202297112feb10370.26859.246691587apr11851.932769.380243471may10398.6-39069.249426461jun10609.3-11579.269486254jul10743.9-5959.282093431aug11699.112129.367267195sep12454.410649.429829253oct12961.917039.469769564nov13696.321599.524881002dec13786.9-5079.531474145apr'056154.44-2998.724929052may6715.11-4708.81211549jun7193.8513138.880981773jul7635.4217468.940553226aug7805.4312048.962574924sep8634.4810359.063518769oct7892.32-4698.973645414nov8788.81-179.0812346dec9397.9321229.148244731jan'045695.6723908.647461516feb5667.5114218.642505147apr5655.09-3508.640311304may4759.62-5038.467923112jun4795.4612888.475424916jul5170.3216458.550689861aug5192.0811398.554889667sep5583.6110088.6275908oct5672.2742278.643344669apr'032959.798467.992873599may3180.75-4578.064872297jun3607.13-4778.190667721jul3792.61-4328.240809715aug4244.734488.353433492sep4453.244118.4013872oct4906.878078.498391543nov5044.8228088.526117253dec5838.967468.672307978Jan' 023311.031318.105014598Feb3562.312798.17816449Mar3469.352768.151722536Apr3338.16-738.113175036May3125.73878.047423135Jun3244.7-2728.084778175Jul2987.65438.002242404Aug3181.23-338.065023193Sep2991.36-1318.003483412Oct2949.32-97.989329914Nov3228.82-1848.079872024Dec3377.28538.124825931Jan' 014326.724448.372565028Feb4247.026688.35397284Mar3604.383548.189905052Apr3519.162298.165977604May3631.912658.19751396Jun3456.781388.148092799Jul3329.281258.110511343Aug3244.951168.084855221Sep2811.6-1797.941508995Oct2989.35358.002811251Nov3287.56708.097900927Dec3262288.090095783Jan' 20005205.291298.557430695Feb5446.984778.602816606Mar5001.283428.517449159Apr4657.553498.446244838May4433.611558.39696943Jun4748.77-1608.465640916Jul4279.86-1948.361675578Aug4477.31758.406777699Sep4090.382358.316393154Oct3711.02-2718.21906205Nov3997.99788.293547014Dec3972.121148.287055236Jan' 983224.36628.07848976Feb3622.22448.194842377Mar3892.752568.266871128Apr4006.814578.295750692May3686.393438.212402938Jun3250.69428.08662256Jul3211.312338.074434233Aug2933.85337.984070833Sep3102.29-1548.039895827Oct2812.49-1007.941825491Nov2810.66-237.94117461Dec3055.413568.024669069Apr'973841.11-318.253516666May3755.1-1158.230870195Jun4256.09-2698.356106177Jul4305.76-268.36770894Aug3876.08-488.262579613Sep3902.03-438.26925221Oct3803.24-1408.243608614Nov3560.29-508.177597281 <br />Regression Model 1: Sensex = a+bFII (for the year 1997 to 2008)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.21084303R Square0.044454783Adjusted R Square0.036072808Standard Error4665.921751Observations116ANOVA dfSSMSFSignificance FRegression1115464108.6115464108.65.3036160.023095022Residual114248187414021770825.79Total1152597338248 CoefficientsStandard Errort StatP-valueLower 95%Intercept6875.450658440.447973315.610131224.45E-306002.926644X Variable 10.3862532280.1677204692.3029581840.0230950.05400028<br />MEAN OF SENSEXSD OF SENSEXCV OF SENSEX7058.4581034731.89676267.03867464MEAN OF FIISD OF FIICV OF FII473.80172412582.987992545.1622189<br />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. <br /> Correlation: The R-square value is 0.044454783.So there is a negligible correlation between SENSEX and FII.<br />Year 2003-2008 – (Overall regression analysis and correlation between SENSEX and FII):<br />Data of SENSEX and FII from 2003-2008<br />YEARsensexFIIlog sensexfeb,0817578.7-89919.774443221mar15644.4-16439.657868304apr17287.3202389.757727407may16415.6-14329.705987381jun13461.6-7349.507596467jul14355.8-30119.571909321aug14564.5-4999.58634234sep12860.44649.461908102oct9788.06-14039.188918554nov9092.72-52509.115229372dec9647.31-5749.174434399jan'0714090.923859.553284478feb12938.1-24339.467931726apr13872.419639.537656534may14544.518479.584968194jun14650.532799.592229744jul1555146859.651880224aug15318.6-33239.636823055sep17291.170579.757947197oct1983868339.895354569nov19363.2-2659.871129636dec2028723969.917735566jan'069919.8916929.202297112feb10370.26859.246691587apr11851.932769.380243471may10398.6-39069.249426461jun10609.3-11579.269486254jul10743.9-5959.282093431aug11699.112129.367267195sep12454.410649.429829253oct12961.917039.469769564nov13696.321599.524881002dec13786.9-5079.531474145apr'056154.44-2998.724929052may6715.11-4708.81211549jun7193.8513138.880981773jul7635.4217468.940553226aug7805.4312048.962574924sep8634.4810359.063518769oct7892.32-4698.973645414nov8788.81-179.0812346dec9397.9321229.148244731jan'045695.6723908.647461516feb5667.5114218.642505147apr5655.09-3508.640311304may4759.62-5038.467923112jun4795.4612888.475424916jul5170.3216458.550689861aug5192.0811398.554889667sep5583.6110088.6275908oct5672.2742278.643344669apr'032959.798467.992873599may3180.75-4578.064872297jun3607.13-4778.190667721jul3792.61-4328.240809715aug4244.734488.353433492sep4453.244118.4013872oct4906.878078.498391543nov5044.8228088.526117253dec5838.967468.672307978MEAN10396.14237853.3050847<br />Regression Model 2: Sensex = a+bFII (for the year 2003 to 2008)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.152496R Square0.023255Adjusted R Square0.006414Standard Error4735.534Observations60ANOVA dfSSMSFSignificance FRegression130966998.9430966998.941.3808966660.244750177Residual58130066643122425283.29Total591331633430 CoefficientsStandard Errort StatP-valueLower 95%Intercept10052.94628.22565516.002111576.12076E-238795.406755X Variable 10.2025260.1723457191.1751155970.244750177-0.142461294<br />CV OF SENSEX46.12110148CV OF FII422.8181573<br />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. <br /> Correlation: The R-square value is 0.023255.So there is a negligible correlation between SENSEX and FII.<br />Year 2008 <br />Year wise Details impact on FII on SENSEX 2008<br />Regression Model 3: Sensex = a+bFII (for the year 2008)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.267875613R Square0.071757344Adjusted R Square-0.03138073Standard Error3113.046757Observations11ANOVA dfSSMSFSignificance FRegression16742463.8996742463.8990.6957405920.425802804Residual987219541.029691060.114Total1093962004.92 CoefficientsStandard Errort StatP-valueLower 95%Intercept13728.62199939.260399914.616417341.41244E-0711603.86736X Variable 10.1123287280.1346688560.8341106590.425802804-0.192313388<br /> MEAN OF sensex SD of SensexCOFFICIENT OF VARIATION OF SENSEX13699.67182 2922.670089 21.33386936MEAN OF FII SD of FIICOFFICIENT OF VARIATION OF FII -257.7272727 6969.829137 -2704.342875<br />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 . <br />Correlation: The R-square value is 0.071757344 .So there is a negligible correlation between SENSEX and FII.<br />YEAR 2007 <br />Regression Model 4: Sensex = a+bFII (for the year 2007)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.375969954R Square0.141353406Adjusted R Square0.045948229Standard Error2546.353022Observations11ANOVA dfSSMSFSignificance FRegression19606641.0419606641.0411.4816114880.25447517Residual958355223.46483913.712Total1067961864.45 CoefficientsStandard Errort StatP-valueLower 95%Intercept15504.54006937.143946916.544459484.80294E-0813384.57317X Variable 10.2946020050.2420296261.2172146430.25447517-0.252907046MEAN OF SENSEXSD OF SENSEXCV OF SENSEX16158.663642485.62895715.38263939MEAN OF FIISD OF FII CV OF FII2220.3636363172.150182 142.8662463<br />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 . <br /> Correlation: The R-square value is 0.14135340. So there is a negligible correlation between SENSEX and FII.<br />YEAR 2006<br />Regression Model 5: Sensex = a+bFII (for the year 2006)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.359580108R Square0.129297854Adjusted R Square0.032553171Standard Error1364.872053Observations11ANOVA dfSSMSFSignificance FRegression12489706.1622489706.1621.3364853780.277420296Residual916765881.481862875.72Total1019255587.65 CoefficientsStandard Errort StatP-valueLower 95%Intercept11551.15861426.604233427.076990116.1914E-1010586.11279X Variable 10.2541139830.21980951.1560646080.277420296-0.24312965MEAN OF SENSEXSD OF SENSEXCV OF SENSEX11681.126361323.06763511.32654159MEAN OF FII SD OF FII CV OF FII 511.45454551872.186634 366.0514216<br />Regression Analysis: The significance level is 0.277420296 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 . <br /> Correlation: The R-square value is 0.129297854. So there is a negligible correlation between SENSEX and FII.<br />YEAR 2005<br />Regression Model 6: Sensex = a+bFII (for the year 2005)<br /> <br />SUMMARY OUTPUTRegression StatisticsMultiple R0.49445385R Square0.24448461Adjusted R Square0.13655384Standard Error958.6809462Observations9ANOVA dfSSMSFSignificance FRegression12081874.0022081874.0022.2651984210.176025491Residual76433484.096919069.1566Total88515358.098 CoefficientsStandard Errort StatP-valueLower 95%Intercept7454.780317394.12563818.914730732.8707E-076522.821276X Variable 10.5068559850.3367684931.5050576140.176025491-0.289474961<br />MEAN OF SENSEXSD OF SENSEXCV OF SENSEX7801.976667972.702883612.46739032MEAN OF FIISD OF FIICV OF FII685948.9020556138.5258475<br />Regression Analysis: The significance level is 0.176025491 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 . <br /> Correlation: The R-square value is 0.24448461. So there is a negligible correlation between SENSEX and FII.<br />YEAR 2004<br /> Regression Model 7: Sensex = a+bFII (for the year 2004)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.418527R Square0.175165Adjusted R Square0.057331Standard Error373.66Observations9ANOVA dfSSMSFSignificance FRegression1207553.5207553.48221.4865406830.262239304Residual7977352.6139621.7975Total81184906 CoefficientsStandard Errort StatP-valueLower 95%Intercept5199.112178.276729.163155261.43502E-084777.554089X Variable 10.1141150.0935961.2192377470.262239304-0.107203304MEAN OF SENSEXSD OF SENSEXCV OF SENSEX5354.625556362.84463546.776284012MEAN OF FIISD OF FIICV OF FII1362.7777781330.75849597.65043993<br />Regression Analysis: The significance level is 0.262239304 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 . <br /> Correlation: The R-square value is 0.175164503. So there is a negligible correlation between SENSEX and FII.<br />YEAR 2003<br />Regression Model 8: Sensex = a+bFII (for the year 2003)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.52719538R Square0.277934969Adjusted R Square0.174782821Standard Error853.0358425Observations9ANOVA dfSSMSFSignificance FRegression11960647.3071960647.3072.6944176720.144704643Residual75093691.04727670.1485Total87054338.347 CoefficientsStandard Errort StatP-valueLower 95%Intercept3972.32749323.462939712.280626325.4438E-063207.459179X Variable 10.4846707640.2952666281.6414681450.144704643-0.213523865MEAN OF SENSEXSD OF SENSEXCV OF SENSEX 4225.433333 885.3334806 20.95248962MEAN OF FIISD OF FIICV OF FII 522.2222222 963.0119161184.4065371<br />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. <br />Correlation: The R-square value is 0.277934969. So there is not such significant correlation between SENSEX and FII.<br />REGRESSION & CORRELATION ANALYSIS FOR TWO YEAR PERIOD<br />YEAR 2007-08 <br />Regression Model 9: Sensex = a+bFII (for the year 2007-08)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.34656377R Square0.12010644Adjusted R Square0.07611177Standard Error2930.34103Observations22ANOVA dfSSMSFSignificance FRegression123442423.0323442423.032.7300221330.114091671Residual20171737970.58586898.526Total21195180393.6 CoefficientsStandard Errort StatP-valueLower 95%Intercept14746.8069634.424909523.244369276.01522E-1613423.4197X Variable 10.185832550.1124705171.6522778620.114091671-0.048776841<br />MEAN OF SENSEXSD OF SENSEXCV OF SENSEX14929.167732978.56275319.95129807MEAN OF FIISD OF FIICV OF FII981.31818186979.000955711.1863496<br />Regression Analysis: The significance level is 0.114091671 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. <br />Correlation: The R-square value is 0.120106444. So there is not such significant correlation between SENSEX and FII.<br />YEAR 2005-06<br />Regression Model 10: Sensex = a+bFII (for the year 2005 –06)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.15281721R Square0.0233531Adjusted R Square-0.0309051Standard Error2355.48457Observations20ANOVA dfSSMSFSignificance FRegression12388031.1612388031.1610.4304071340.520088132Residual1899869536.325548307.573Total19102257567.5 CoefficientsStandard Errort StatP-valueLower 95%Intercept9802.34795564.458383217.365935641.08609E-128616.464896X Variable 10.225868960.3442839930.6560542160.520088132-0.497444862<br />MEAN OF SENSEXSD OF SENSEXCV OF SENSEX9935.5092261.1674822.7584463MEAN OF FIISD OF FIICV OF FII589.551529.848537259.4942816<br />Regression Analysis: The significance level is 0.520088132 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. <br />Correlation: The R-square value is 0.0233531. So there is not such significant correlation between SENSEX and FII.<br />YEAR 2003-04<br />Regression Model 11: Sensex = a+bFII (for the year 2003-04)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.5173024R Square0.26760178Adjusted R Square0.22182689Standard Error799.874608Observations18ANOVA dfSSMSFSignificance FRegression13740292.0273740292.0275.8460387620.027908504Residual1610236790.22639799.3888Total1713977082.25 CoefficientsStandard Errort StatP-valueLower 95%Intercept4442.21253237.145914218.731980042.62052E-123939.485654X Variable 10.369036510.1526295042.4178583010.0279085040.045476421MEAN OF SENSEXSD OF SENSEXCV OF SENSEX 4790.029444881.194966718.39644154MEAN OF FIISD OF FIICV OF FII942.51235.228105131.0586849<br />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. <br />Correlation: The R-square value is 0.0233531. So there is not strong correlation between SENSEX and FII.<br />REGRESSION & CORRELATION ANALYSIS BETWEEN THE CV OF SENSEX AND CV OF FII (2003-2008)<br />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. <br />Regression and CV of SENSEX and FII<br />YEARCV OF SENSEXCV OF FII200821.33-2704.34200715.38142.86200611.32366.05200512.46138.5220046.7797.65200320.95184.4SUMMARY OUTPUTRegression StatisticsMultiple R0.562564171R Square0.316478446Adjusted R Square0.145598058Standard Error5.274543682Observations6ANOVA dfSSMSFRegression151.5254391251.525439121.852046622Residual4111.283244227.82081105Total5162.8086833 CoefficientsStandard Errort StatP-valueIntercept13.899430532.2325545946.2257964810.003389507X Variable 1-0.0027119980.001992799-1.3608991960.245173461<br />Regression Analysis: The significance level is 0.245173461 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. <br />Correlation: The R-square value is 0.316478446. So there is not strong correlation between SENSEX and FII.<br />NIFTY AND FII<br />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.<br /> 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 <br /> Nifty stocks represent about 58.64% of the total market capitalization as on March 31, 2008. <br /> Impact cost of the S&P CNX Nifty for a portfolio size of Rs.2 crore is 0.15% <br /> S&P CNX Nifty is professionally maintained and is ideal for derivatives trading<br /> 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.<br />REGRESSION & CORRELATION ANALYSIS BETWEEN NIFTYAND FII <br />OVERALL (2002-2008):<br /> Data of NIFTY and FII from 2002-08<br />yearFIINIFTYLOG OF NIFTYfeb,08-89915223.58.560922954mar-16434734.58.462631403apr202385165.98.549834616may-14324870.18.49086975jun-7344040.558.3041361jul-30114332.958.374003882aug-49943608.380227336sep4643929.128.276170761oct-14032885.67.96748813nov-52502755.17.921209019dec-5742959.557.992792509jan'0723853745.38.228257feb-24333821.558.248411378apr19634087.98.31578667may18474295.88.36539308jun32794318.38.370617085jul46854528.858.418223323aug-33234464.48.403890106sep70575021.358.521454101oct68335900.658.682817793nov-2655762.758.65917007dec23966138.68.722351982jan'0616923001.18.006734167feb6853074.78.030962615apr32763508.18.162829859may-39063185.38.066301755jun-11573128.28.048213038jul-5953143.28.052996668aug12123413.98.135610612sep10643588.48.1854617oct17033744.18.227936547nov21593954.58.28260945dec-5073966.48.285614161apr'05-2991902.57.55092409may-4702087.557.643746409jun13132220.67.705532709jul17462312.37.745997979aug12042384.657.776807642sep10352601.47.863805041oct-4692370.957.771045998nov-172652.257.883163615dec21222836.557.950343804jan'0423901800.37.495708597feb14211779.97.484312462apr-3501796.17.493372927may-5031483.67.302226846jun12881505.67.316946769jul16451632.37.397745342aug11391631.757.397408338sep10081745.57.464796327oct42271800.17.495597498apr'03846934.056.83952997may-4571006.86.914532263jun-4771134.157.033638751jul-4321185.857.078215096aug4481356.557.212699991sep4111417.17.256367809oct8071555.97.349809435nov28081615.257.387245022dec7461897.757.548424253Aug,02-331010.66.918299493Sep-131963.156.870209163Oct-9951.46.857934584Nov-1841049.76.956259688Dec531093.56.99713884<br />Regression Model 12: NIFTY = a+bFII (for the year 2002 to 2008)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.166070585R Square0.027579439Adjusted R Square0.012144192Standard Error1415.34751Observations65ANOVA dfSSMSFSignificance FRegression13579299.3143579299.3141.7867830.18612593Residual63126202140.22003208.575Total64129781439.5 CoefficientsStandard Errort StatP-valueLower 95%Intercept2851.214089179.953765715.844147951.18E-232491.605187X Variable 10.0686827650.0513820991.336706080.186126-0.033996167<br />MEAN OF NIFFTYSD OF NIFFTYCV OF NIFFTY132.34375427.7595418323.218544MEAN OF FIISD OF FIICV OF FII3757.466406684.698385418.22234217<br />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. <br />Correlation: The R-square value is 0.027579439. So there is not strong correlation between NIFTY and FII.<br />REGRESSION & CORRELATION ANALYSIS BETWEEN NIFTYAND FII <br />YEAR 2008 <br />Regression Model 13: NIFTY = a+bFII (for the year 2008)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.271835529R Square0.073894555Adjusted R Square-0.02900605Standard Error914.679559Observations11ANOVA dfSSMSFSignificance FRegression1600803.5600803.50160.7181158420.418726971Residual97529748836638.6957Total108130552 CoefficientsStandard Errort StatP-valueLower 95%Intercept4122.902787275.974714.939420531.16845E-073498.60454X Variable 10.0335310960.0395690.8474171590.418726971-0.05597926<br />MEAN OF NIFTYSD OF NIFTYCV OF NIFTY4114.260909859.7331385 20.89641755MEAN OF IIFSD OF IIFCV OF FII-257.72727276969.829137-2704.342875<br />Regression Analysis: The significance level is 0.418726971 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. <br />Correlation: The R-square value is 0.073894555. So there is not strong correlation between NIFTY and FII.<br />YEAR 2007<br />Regression Model 14: NIFTY = a+bFII (for the year 2007)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.375969954R Square0.141353406Adjusted R Square0.045948229Standard Error3249.646001Observations11ANOVA dfSSMSFSignificance FRegression115646112.3515646112.351.4816114880.25447517Residual995041792.210560199.13Total10110687904.5 CoefficientsStandard Errort StatP-valueLower 95%Intercept-5532.74776444.470823-0.8585263010.412882115-20111.1535X Variable 10.4798114190.3941880111.2172146430.25447517-0.41190381<br /> <br /> Nifty FII <br />MEAN16158.663642220.363636SD2485.6289573172.150182CV15.38263939142.8662463<br />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 NIFTY. <br />Correlation: The R-square value is 0.141353406. So there is not strong correlation between NIFTY and FII.<br />YEAR 2006<br />Regression Model 15: NIFTY = a+bFII (for the year 2006)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.388493066R Square0.150926863Adjusted R Square0.04479272Standard Error729.5645734Observations10ANOVA dfSSMSFSignificance FRegression1756900.6958756900.69581.4220387480.267235855Residual84258115.734532264.4668Total95015016.43 CoefficientsStandard Errort StatP-valueLower 95%Intercept4412.500671276.707373915.946451332.39587E-073774.412323X Variable 10.0827057970.0693553931.1924926610.267235855-0.077228025<br />MEAN4594.6852202.8SD708.16780713326.469173CV15.41276077151.0109485<br />Regression Analysis: The significance level is 0.267236 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. <br />Correlation: The R-square value is 0.150926863. So there is not strong correlation between NIFTY and FII.<br />YEAR 2005<br />Regression Model 16: NIFTY = a+bFII (for the year 2005)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.509265428R Square0.259351276Adjusted R Square0.153544315Standard Error267.2273219Observations9ANOVA dfSSMSFSignificance FRegression1175039.4211175039.42112.4511740480.161417704Residual7499873.091171410.44158Total8674912.5122 CoefficientsStandard Errort StatP-valueLower 95%Intercept2273.631894109.860469420.695632441.54425E-072013.853164X Variable 10.1469688490.0938724641.5656225750.161417704-0.075004256 MEAN2374.305556 685.00SD273.8435304948.9020556CV11.53362632138.5258475<br />Regression Analysis: The significance level is 0.161418 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. <br />Correlation: The R-square value is 0.259351276. So there is not strong correlation between NIFTY and FII.<br />YEAR 2004<br />Regression Model 17: NIFTY = a+bFII (for the year 2004)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.436526419R Square0.190555314Adjusted R Square0.074920359Standard Error122.5597781Observations9ANOVA dfSSMSFSignificance FRegression124753.0010824753.001081.6479040790.240101442Residual7105146.294515020.89921Total8129899.2956 CoefficientsStandard Errort StatP-valueLower 95%Intercept1632.42231458.4744274127.916858471.94369E-081494.152265X Variable 10.039408820.0306992291.2837071630.240101442-0.033183321<br />MEAN1686.1277781362.777778SD120.13848291330.758495CV7.1251114297.65043993<br />Regression Analysis: The significance level is 0.240101 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. <br />Correlation: The R-square value is 0.190555314. So there is not strong correlation between NIFTY and FII.<br />YEAR 2003<br />Regression Model 18: NIFTY = a+bFII (for the year 2003)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.529895014R Square0.280788725Adjusted R Square0.178044258Standard Error283.3495135Observations9ANOVA dfSSMSFSignificance FRegression1219414.9228219414.92282.732884130.142280094Residual7562008.627780286.94682Total8781423.5506 CoefficientsStandard Errort StatP-valueLower 95%Intercept1260.151061107.443394611.728511257.41271E-061006.087805X Variable 10.1621362650.0980775381.6531437110.142280094-0.06978026<br />2003 NIFTY FIIMEAN1344.822222522.2222222SD294.6605487963.0119161CV21.91074358184.4065371<br />Regression Analysis: The significance level is 0.142280094 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. <br />Correlation: The R-square value is 0.280788725. So there is not strong correlation between NIFTY and FII.<br />YEAR 2002<br />Regression Model 19: NIFTY = a+bFII (for the year 2002)<br />SUMARRY OUTPUT<br />Regression StatisticsMultiple R0.215054448R Square0.046248416Adjusted R Square-0.271668779Standard Error66.97676673Observations5ANOVA dfSSMSFSignificance FRegression1652.5761533652.57615330.14547310.728309653Residual313457.661854485.887282Total414110.238 CoefficientsStandard Errort StatP-valueLower 95%Intercept1021.79824236.7605633927.796044120.0001022904.8097226X Variable 10.1336881860.3505109660.3814094260.7283097-0.98179414<br />2002NIFTYFIIMEAN1013.67-60.8SD53.1229479685.45501741CV5.240655042-140.5510155<br />Regression Analysis: The significance level is 0.728309653 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. <br />Correlation: The R-square value is 0.046248416. So there is negligible correlation between NIFTY and FII.<br />REGRESSION & CORRELATION ANALYSIS BETWEEN THE CV OF NIFTY AND CV OF FII (2002-2008)<br />REGRESSION OF CV OF NIFTY AND FIIYEARCV OF NIFTYCV OF FII200820.89-2704.34200715.38142.86200615.41151.01200511.53138.5320047.1397.65200321.91184.420025.24-140.55SUMMARY OUTPUTRegression StatisticsMultiple R0.410351992R Square0.168388757Adjusted R Square0.002066509Standard Error6.369548093Observations7ANOVA dfSSMSFSignificance FRegression141.0752283241.0752281.0124247280.360504852Residual5202.855714540.571143Total6243.9309429 CoefficientsStandard Errort StatP-valueLower 95%Intercept13.17862492.5197779275.2300740.0033815266.701329534X Variable 1-0.002459410.002444272-1.0061930.360504852-0.008742612<br />Regression Analysis: The significance level is 0.360504852 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. <br />Correlation: The R-square value is 0.168388757. So there is not so correlation between NIFTY and FII.<br />CONCLUSION:<br />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. <br />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.<br />BIBLIOGRAPHY<br />www.rbi.org.in<br />www.bseindia.com<br />www.nseindia.com<br />www.econstats.com<br />www.google.co.in<br />www.wikipedia.org<br />
![AN ASSIGNMENT ON<br /> <br />IMPACT OF FII FLOW ON THE BSE SENSEX AND NIFTY<br /> SUBMITTED BY:<br /> SOUMITA PATRA-67<br /> DIPTAKSHYA BANERJEE-76<br /> AVIJIT BHATTACHARYYA-91<br /> PRITAM PRIYADARSHINI DASH- 122<br />SUBMITTED TO: PROF. MANOJ KUMAR SAHOO<br />SENSEX & FII<br />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.<br />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.<br />HYPOTHESES TESTING:<br />Null (Ho):There is no association between Sensex/Nifty and FII <br /> [ Ho: β = 0]<br />Alternate (Ha):There is an association between Sensex /Nifty and FII <br /> [Ha : β ≠ 0]<br />Year 1997-2008 – (Overall regression analysis and correlation between SENSEX and FII):<br /> Data of SENSEX and FII from 1997-2008<br />sensexFIIlog sensexfeb,0817578.7-89919.774443221mar15644.4-16439.657868304apr17287.3202389.757727407may16415.6-14329.705987381jun13461.6-7349.507596467jul14355.8-30119.571909321aug14564.5-4999.58634234sep12860.44649.461908102oct9788.06-14039.188918554nov9092.72-52509.115229372dec9647.31-5749.174434399jan'0714090.923859.553284478feb12938.1-24339.467931726apr13872.419639.537656534may14544.518479.584968194jun14650.532799.592229744jul1555146859.651880224aug15318.6-33239.636823055sep17291.170579.757947197oct1983868339.895354569nov19363.2-2659.871129636dec2028723969.917735566jan'069919.8916929.202297112feb10370.26859.246691587apr11851.932769.380243471may10398.6-39069.249426461jun10609.3-11579.269486254jul10743.9-5959.282093431aug11699.112129.367267195sep12454.410649.429829253oct12961.917039.469769564nov13696.321599.524881002dec13786.9-5079.531474145apr'056154.44-2998.724929052may6715.11-4708.81211549jun7193.8513138.880981773jul7635.4217468.940553226aug7805.4312048.962574924sep8634.4810359.063518769oct7892.32-4698.973645414nov8788.81-179.0812346dec9397.9321229.148244731jan'045695.6723908.647461516feb5667.5114218.642505147apr5655.09-3508.640311304may4759.62-5038.467923112jun4795.4612888.475424916jul5170.3216458.550689861aug5192.0811398.554889667sep5583.6110088.6275908oct5672.2742278.643344669apr'032959.798467.992873599may3180.75-4578.064872297jun3607.13-4778.190667721jul3792.61-4328.240809715aug4244.734488.353433492sep4453.244118.4013872oct4906.878078.498391543nov5044.8228088.526117253dec5838.967468.672307978Jan' 023311.031318.105014598Feb3562.312798.17816449Mar3469.352768.151722536Apr3338.16-738.113175036May3125.73878.047423135Jun3244.7-2728.084778175Jul2987.65438.002242404Aug3181.23-338.065023193Sep2991.36-1318.003483412Oct2949.32-97.989329914Nov3228.82-1848.079872024Dec3377.28538.124825931Jan' 014326.724448.372565028Feb4247.026688.35397284Mar3604.383548.189905052Apr3519.162298.165977604May3631.912658.19751396Jun3456.781388.148092799Jul3329.281258.110511343Aug3244.951168.084855221Sep2811.6-1797.941508995Oct2989.35358.002811251Nov3287.56708.097900927Dec3262288.090095783Jan' 20005205.291298.557430695Feb5446.984778.602816606Mar5001.283428.517449159Apr4657.553498.446244838May4433.611558.39696943Jun4748.77-1608.465640916Jul4279.86-1948.361675578Aug4477.31758.406777699Sep4090.382358.316393154Oct3711.02-2718.21906205Nov3997.99788.293547014Dec3972.121148.287055236Jan' 983224.36628.07848976Feb3622.22448.194842377Mar3892.752568.266871128Apr4006.814578.295750692May3686.393438.212402938Jun3250.69428.08662256Jul3211.312338.074434233Aug2933.85337.984070833Sep3102.29-1548.039895827Oct2812.49-1007.941825491Nov2810.66-237.94117461Dec3055.413568.024669069Apr'973841.11-318.253516666May3755.1-1158.230870195Jun4256.09-2698.356106177Jul4305.76-268.36770894Aug3876.08-488.262579613Sep3902.03-438.26925221Oct3803.24-1408.243608614Nov3560.29-508.177597281 <br />Regression Model 1: Sensex = a+bFII (for the year 1997 to 2008)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.21084303R Square0.044454783Adjusted R Square0.036072808Standard Error4665.921751Observations116ANOVA dfSSMSFSignificance FRegression1115464108.6115464108.65.3036160.023095022Residual114248187414021770825.79Total1152597338248 CoefficientsStandard Errort StatP-valueLower 95%Intercept6875.450658440.447973315.610131224.45E-306002.926644X Variable 10.3862532280.1677204692.3029581840.0230950.05400028<br />MEAN OF SENSEXSD OF SENSEXCV OF SENSEX7058.4581034731.89676267.03867464MEAN OF FIISD OF FIICV OF FII473.80172412582.987992545.1622189<br />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. <br /> Correlation: The R-square value is 0.044454783.So there is a negligible correlation between SENSEX and FII.<br />Year 2003-2008 – (Overall regression analysis and correlation between SENSEX and FII):<br />Data of SENSEX and FII from 2003-2008<br />YEARsensexFIIlog sensexfeb,0817578.7-89919.774443221mar15644.4-16439.657868304apr17287.3202389.757727407may16415.6-14329.705987381jun13461.6-7349.507596467jul14355.8-30119.571909321aug14564.5-4999.58634234sep12860.44649.461908102oct9788.06-14039.188918554nov9092.72-52509.115229372dec9647.31-5749.174434399jan'0714090.923859.553284478feb12938.1-24339.467931726apr13872.419639.537656534may14544.518479.584968194jun14650.532799.592229744jul1555146859.651880224aug15318.6-33239.636823055sep17291.170579.757947197oct1983868339.895354569nov19363.2-2659.871129636dec2028723969.917735566jan'069919.8916929.202297112feb10370.26859.246691587apr11851.932769.380243471may10398.6-39069.249426461jun10609.3-11579.269486254jul10743.9-5959.282093431aug11699.112129.367267195sep12454.410649.429829253oct12961.917039.469769564nov13696.321599.524881002dec13786.9-5079.531474145apr'056154.44-2998.724929052may6715.11-4708.81211549jun7193.8513138.880981773jul7635.4217468.940553226aug7805.4312048.962574924sep8634.4810359.063518769oct7892.32-4698.973645414nov8788.81-179.0812346dec9397.9321229.148244731jan'045695.6723908.647461516feb5667.5114218.642505147apr5655.09-3508.640311304may4759.62-5038.467923112jun4795.4612888.475424916jul5170.3216458.550689861aug5192.0811398.554889667sep5583.6110088.6275908oct5672.2742278.643344669apr'032959.798467.992873599may3180.75-4578.064872297jun3607.13-4778.190667721jul3792.61-4328.240809715aug4244.734488.353433492sep4453.244118.4013872oct4906.878078.498391543nov5044.8228088.526117253dec5838.967468.672307978MEAN10396.14237853.3050847<br />Regression Model 2: Sensex = a+bFII (for the year 2003 to 2008)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.152496R Square0.023255Adjusted R Square0.006414Standard Error4735.534Observations60ANOVA dfSSMSFSignificance FRegression130966998.9430966998.941.3808966660.244750177Residual58130066643122425283.29Total591331633430 CoefficientsStandard Errort StatP-valueLower 95%Intercept10052.94628.22565516.002111576.12076E-238795.406755X Variable 10.2025260.1723457191.1751155970.244750177-0.142461294<br />CV OF SENSEX46.12110148CV OF FII422.8181573<br />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. <br /> Correlation: The R-square value is 0.023255.So there is a negligible correlation between SENSEX and FII.<br />Year 2008 <br />Year wise Details impact on FII on SENSEX 2008<br />Regression Model 3: Sensex = a+bFII (for the year 2008)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.267875613R Square0.071757344Adjusted R Square-0.03138073Standard Error3113.046757Observations11ANOVA dfSSMSFSignificance FRegression16742463.8996742463.8990.6957405920.425802804Residual987219541.029691060.114Total1093962004.92 CoefficientsStandard Errort StatP-valueLower 95%Intercept13728.62199939.260399914.616417341.41244E-0711603.86736X Variable 10.1123287280.1346688560.8341106590.425802804-0.192313388<br /> MEAN OF sensex SD of SensexCOFFICIENT OF VARIATION OF SENSEX13699.67182 2922.670089 21.33386936MEAN OF FII SD of FIICOFFICIENT OF VARIATION OF FII -257.7272727 6969.829137 -2704.342875<br />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 . <br />Correlation: The R-square value is 0.071757344 .So there is a negligible correlation between SENSEX and FII.<br />YEAR 2007 <br />Regression Model 4: Sensex = a+bFII (for the year 2007)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.375969954R Square0.141353406Adjusted R Square0.045948229Standard Error2546.353022Observations11ANOVA dfSSMSFSignificance FRegression19606641.0419606641.0411.4816114880.25447517Residual958355223.46483913.712Total1067961864.45 CoefficientsStandard Errort StatP-valueLower 95%Intercept15504.54006937.143946916.544459484.80294E-0813384.57317X Variable 10.2946020050.2420296261.2172146430.25447517-0.252907046MEAN OF SENSEXSD OF SENSEXCV OF SENSEX16158.663642485.62895715.38263939MEAN OF FIISD OF FII CV OF FII2220.3636363172.150182 142.8662463<br />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 . <br /> Correlation: The R-square value is 0.14135340. So there is a negligible correlation between SENSEX and FII.<br />YEAR 2006<br />Regression Model 5: Sensex = a+bFII (for the year 2006)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.359580108R Square0.129297854Adjusted R Square0.032553171Standard Error1364.872053Observations11ANOVA dfSSMSFSignificance FRegression12489706.1622489706.1621.3364853780.277420296Residual916765881.481862875.72Total1019255587.65 CoefficientsStandard Errort StatP-valueLower 95%Intercept11551.15861426.604233427.076990116.1914E-1010586.11279X Variable 10.2541139830.21980951.1560646080.277420296-0.24312965MEAN OF SENSEXSD OF SENSEXCV OF SENSEX11681.126361323.06763511.32654159MEAN OF FII SD OF FII CV OF FII 511.45454551872.186634 366.0514216<br />Regression Analysis: The significance level is 0.277420296 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 . <br /> Correlation: The R-square value is 0.129297854. So there is a negligible correlation between SENSEX and FII.<br />YEAR 2005<br />Regression Model 6: Sensex = a+bFII (for the year 2005)<br /> <br />SUMMARY OUTPUTRegression StatisticsMultiple R0.49445385R Square0.24448461Adjusted R Square0.13655384Standard Error958.6809462Observations9ANOVA dfSSMSFSignificance FRegression12081874.0022081874.0022.2651984210.176025491Residual76433484.096919069.1566Total88515358.098 CoefficientsStandard Errort StatP-valueLower 95%Intercept7454.780317394.12563818.914730732.8707E-076522.821276X Variable 10.5068559850.3367684931.5050576140.176025491-0.289474961<br />MEAN OF SENSEXSD OF SENSEXCV OF SENSEX7801.976667972.702883612.46739032MEAN OF FIISD OF FIICV OF FII685948.9020556138.5258475<br />Regression Analysis: The significance level is 0.176025491 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 . <br /> Correlation: The R-square value is 0.24448461. So there is a negligible correlation between SENSEX and FII.<br />YEAR 2004<br /> Regression Model 7: Sensex = a+bFII (for the year 2004)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.418527R Square0.175165Adjusted R Square0.057331Standard Error373.66Observations9ANOVA dfSSMSFSignificance FRegression1207553.5207553.48221.4865406830.262239304Residual7977352.6139621.7975Total81184906 CoefficientsStandard Errort StatP-valueLower 95%Intercept5199.112178.276729.163155261.43502E-084777.554089X Variable 10.1141150.0935961.2192377470.262239304-0.107203304MEAN OF SENSEXSD OF SENSEXCV OF SENSEX5354.625556362.84463546.776284012MEAN OF FIISD OF FIICV OF FII1362.7777781330.75849597.65043993<br />Regression Analysis: The significance level is 0.262239304 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 . <br /> Correlation: The R-square value is 0.175164503. So there is a negligible correlation between SENSEX and FII.<br />YEAR 2003<br />Regression Model 8: Sensex = a+bFII (for the year 2003)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.52719538R Square0.277934969Adjusted R Square0.174782821Standard Error853.0358425Observations9ANOVA dfSSMSFSignificance FRegression11960647.3071960647.3072.6944176720.144704643Residual75093691.04727670.1485Total87054338.347 CoefficientsStandard Errort StatP-valueLower 95%Intercept3972.32749323.462939712.280626325.4438E-063207.459179X Variable 10.4846707640.2952666281.6414681450.144704643-0.213523865MEAN OF SENSEXSD OF SENSEXCV OF SENSEX 4225.433333 885.3334806 20.95248962MEAN OF FIISD OF FIICV OF FII 522.2222222 963.0119161184.4065371<br />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. <br />Correlation: The R-square value is 0.277934969. So there is not such significant correlation between SENSEX and FII.<br />REGRESSION & CORRELATION ANALYSIS FOR TWO YEAR PERIOD<br />YEAR 2007-08 <br />Regression Model 9: Sensex = a+bFII (for the year 2007-08)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.34656377R Square0.12010644Adjusted R Square0.07611177Standard Error2930.34103Observations22ANOVA dfSSMSFSignificance FRegression123442423.0323442423.032.7300221330.114091671Residual20171737970.58586898.526Total21195180393.6 CoefficientsStandard Errort StatP-valueLower 95%Intercept14746.8069634.424909523.244369276.01522E-1613423.4197X Variable 10.185832550.1124705171.6522778620.114091671-0.048776841<br />MEAN OF SENSEXSD OF SENSEXCV OF SENSEX14929.167732978.56275319.95129807MEAN OF FIISD OF FIICV OF FII981.31818186979.000955711.1863496<br />Regression Analysis: The significance level is 0.114091671 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. <br />Correlation: The R-square value is 0.120106444. So there is not such significant correlation between SENSEX and FII.<br />YEAR 2005-06<br />Regression Model 10: Sensex = a+bFII (for the year 2005 –06)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.15281721R Square0.0233531Adjusted R Square-0.0309051Standard Error2355.48457Observations20ANOVA dfSSMSFSignificance FRegression12388031.1612388031.1610.4304071340.520088132Residual1899869536.325548307.573Total19102257567.5 CoefficientsStandard Errort StatP-valueLower 95%Intercept9802.34795564.458383217.365935641.08609E-128616.464896X Variable 10.225868960.3442839930.6560542160.520088132-0.497444862<br />MEAN OF SENSEXSD OF SENSEXCV OF SENSEX9935.5092261.1674822.7584463MEAN OF FIISD OF FIICV OF FII589.551529.848537259.4942816<br />Regression Analysis: The significance level is 0.520088132 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. <br />Correlation: The R-square value is 0.0233531. So there is not such significant correlation between SENSEX and FII.<br />YEAR 2003-04<br />Regression Model 11: Sensex = a+bFII (for the year 2003-04)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.5173024R Square0.26760178Adjusted R Square0.22182689Standard Error799.874608Observations18ANOVA dfSSMSFSignificance FRegression13740292.0273740292.0275.8460387620.027908504Residual1610236790.22639799.3888Total1713977082.25 CoefficientsStandard Errort StatP-valueLower 95%Intercept4442.21253237.145914218.731980042.62052E-123939.485654X Variable 10.369036510.1526295042.4178583010.0279085040.045476421MEAN OF SENSEXSD OF SENSEXCV OF SENSEX 4790.029444881.194966718.39644154MEAN OF FIISD OF FIICV OF FII942.51235.228105131.0586849<br />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. <br />Correlation: The R-square value is 0.0233531. So there is not strong correlation between SENSEX and FII.<br />REGRESSION & CORRELATION ANALYSIS BETWEEN THE CV OF SENSEX AND CV OF FII (2003-2008)<br />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. <br />Regression and CV of SENSEX and FII<br />YEARCV OF SENSEXCV OF FII200821.33-2704.34200715.38142.86200611.32366.05200512.46138.5220046.7797.65200320.95184.4SUMMARY OUTPUTRegression StatisticsMultiple R0.562564171R Square0.316478446Adjusted R Square0.145598058Standard Error5.274543682Observations6ANOVA dfSSMSFRegression151.5254391251.525439121.852046622Residual4111.283244227.82081105Total5162.8086833 CoefficientsStandard Errort StatP-valueIntercept13.899430532.2325545946.2257964810.003389507X Variable 1-0.0027119980.001992799-1.3608991960.245173461<br />Regression Analysis: The significance level is 0.245173461 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. <br />Correlation: The R-square value is 0.316478446. So there is not strong correlation between SENSEX and FII.<br />NIFTY AND FII<br />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.<br /> 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 <br /> Nifty stocks represent about 58.64% of the total market capitalization as on March 31, 2008. <br /> Impact cost of the S&P CNX Nifty for a portfolio size of Rs.2 crore is 0.15% <br /> S&P CNX Nifty is professionally maintained and is ideal for derivatives trading<br /> 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.<br />REGRESSION & CORRELATION ANALYSIS BETWEEN NIFTYAND FII <br />OVERALL (2002-2008):<br /> Data of NIFTY and FII from 2002-08<br />yearFIINIFTYLOG OF NIFTYfeb,08-89915223.58.560922954mar-16434734.58.462631403apr202385165.98.549834616may-14324870.18.49086975jun-7344040.558.3041361jul-30114332.958.374003882aug-49943608.380227336sep4643929.128.276170761oct-14032885.67.96748813nov-52502755.17.921209019dec-5742959.557.992792509jan'0723853745.38.228257feb-24333821.558.248411378apr19634087.98.31578667may18474295.88.36539308jun32794318.38.370617085jul46854528.858.418223323aug-33234464.48.403890106sep70575021.358.521454101oct68335900.658.682817793nov-2655762.758.65917007dec23966138.68.722351982jan'0616923001.18.006734167feb6853074.78.030962615apr32763508.18.162829859may-39063185.38.066301755jun-11573128.28.048213038jul-5953143.28.052996668aug12123413.98.135610612sep10643588.48.1854617oct17033744.18.227936547nov21593954.58.28260945dec-5073966.48.285614161apr'05-2991902.57.55092409may-4702087.557.643746409jun13132220.67.705532709jul17462312.37.745997979aug12042384.657.776807642sep10352601.47.863805041oct-4692370.957.771045998nov-172652.257.883163615dec21222836.557.950343804jan'0423901800.37.495708597feb14211779.97.484312462apr-3501796.17.493372927may-5031483.67.302226846jun12881505.67.316946769jul16451632.37.397745342aug11391631.757.397408338sep10081745.57.464796327oct42271800.17.495597498apr'03846934.056.83952997may-4571006.86.914532263jun-4771134.157.033638751jul-4321185.857.078215096aug4481356.557.212699991sep4111417.17.256367809oct8071555.97.349809435nov28081615.257.387245022dec7461897.757.548424253Aug,02-331010.66.918299493Sep-131963.156.870209163Oct-9951.46.857934584Nov-1841049.76.956259688Dec531093.56.99713884<br />Regression Model 12: NIFTY = a+bFII (for the year 2002 to 2008)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.166070585R Square0.027579439Adjusted R Square0.012144192Standard Error1415.34751Observations65ANOVA dfSSMSFSignificance FRegression13579299.3143579299.3141.7867830.18612593Residual63126202140.22003208.575Total64129781439.5 CoefficientsStandard Errort StatP-valueLower 95%Intercept2851.214089179.953765715.844147951.18E-232491.605187X Variable 10.0686827650.0513820991.336706080.186126-0.033996167<br />MEAN OF NIFFTYSD OF NIFFTYCV OF NIFFTY132.34375427.7595418323.218544MEAN OF FIISD OF FIICV OF FII3757.466406684.698385418.22234217<br />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. <br />Correlation: The R-square value is 0.027579439. So there is not strong correlation between NIFTY and FII.<br />REGRESSION & CORRELATION ANALYSIS BETWEEN NIFTYAND FII <br />YEAR 2008 <br />Regression Model 13: NIFTY = a+bFII (for the year 2008)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.271835529R Square0.073894555Adjusted R Square-0.02900605Standard Error914.679559Observations11ANOVA dfSSMSFSignificance FRegression1600803.5600803.50160.7181158420.418726971Residual97529748836638.6957Total108130552 CoefficientsStandard Errort StatP-valueLower 95%Intercept4122.902787275.974714.939420531.16845E-073498.60454X Variable 10.0335310960.0395690.8474171590.418726971-0.05597926<br />MEAN OF NIFTYSD OF NIFTYCV OF NIFTY4114.260909859.7331385 20.89641755MEAN OF IIFSD OF IIFCV OF FII-257.72727276969.829137-2704.342875<br />Regression Analysis: The significance level is 0.418726971 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. <br />Correlation: The R-square value is 0.073894555. So there is not strong correlation between NIFTY and FII.<br />YEAR 2007<br />Regression Model 14: NIFTY = a+bFII (for the year 2007)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.375969954R Square0.141353406Adjusted R Square0.045948229Standard Error3249.646001Observations11ANOVA dfSSMSFSignificance FRegression115646112.3515646112.351.4816114880.25447517Residual995041792.210560199.13Total10110687904.5 CoefficientsStandard Errort StatP-valueLower 95%Intercept-5532.74776444.470823-0.8585263010.412882115-20111.1535X Variable 10.4798114190.3941880111.2172146430.25447517-0.41190381<br /> <br /> Nifty FII <br />MEAN16158.663642220.363636SD2485.6289573172.150182CV15.38263939142.8662463<br />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 NIFTY. <br />Correlation: The R-square value is 0.141353406. So there is not strong correlation between NIFTY and FII.<br />YEAR 2006<br />Regression Model 15: NIFTY = a+bFII (for the year 2006)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.388493066R Square0.150926863Adjusted R Square0.04479272Standard Error729.5645734Observations10ANOVA dfSSMSFSignificance FRegression1756900.6958756900.69581.4220387480.267235855Residual84258115.734532264.4668Total95015016.43 CoefficientsStandard Errort StatP-valueLower 95%Intercept4412.500671276.707373915.946451332.39587E-073774.412323X Variable 10.0827057970.0693553931.1924926610.267235855-0.077228025<br />MEAN4594.6852202.8SD708.16780713326.469173CV15.41276077151.0109485<br />Regression Analysis: The significance level is 0.267236 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. <br />Correlation: The R-square value is 0.150926863. So there is not strong correlation between NIFTY and FII.<br />YEAR 2005<br />Regression Model 16: NIFTY = a+bFII (for the year 2005)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.509265428R Square0.259351276Adjusted R Square0.153544315Standard Error267.2273219Observations9ANOVA dfSSMSFSignificance FRegression1175039.4211175039.42112.4511740480.161417704Residual7499873.091171410.44158Total8674912.5122 CoefficientsStandard Errort StatP-valueLower 95%Intercept2273.631894109.860469420.695632441.54425E-072013.853164X Variable 10.1469688490.0938724641.5656225750.161417704-0.075004256 MEAN2374.305556 685.00SD273.8435304948.9020556CV11.53362632138.5258475<br />Regression Analysis: The significance level is 0.161418 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. <br />Correlation: The R-square value is 0.259351276. So there is not strong correlation between NIFTY and FII.<br />YEAR 2004<br />Regression Model 17: NIFTY = a+bFII (for the year 2004)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.436526419R Square0.190555314Adjusted R Square0.074920359Standard Error122.5597781Observations9ANOVA dfSSMSFSignificance FRegression124753.0010824753.001081.6479040790.240101442Residual7105146.294515020.89921Total8129899.2956 CoefficientsStandard Errort StatP-valueLower 95%Intercept1632.42231458.4744274127.916858471.94369E-081494.152265X Variable 10.039408820.0306992291.2837071630.240101442-0.033183321<br />MEAN1686.1277781362.777778SD120.13848291330.758495CV7.1251114297.65043993<br />Regression Analysis: The significance level is 0.240101 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. <br />Correlation: The R-square value is 0.190555314. So there is not strong correlation between NIFTY and FII.<br />YEAR 2003<br />Regression Model 18: NIFTY = a+bFII (for the year 2003)<br />SUMMARY OUTPUTRegression StatisticsMultiple R0.529895014R Square0.280788725Adjusted R Square0.178044258Standard Error283.3495135Observations9ANOVA dfSSMSFSignificance FRegression1219414.9228219414.92282.732884130.142280094Residual7562008.627780286.94682Total8781423.5506 CoefficientsStandard Errort StatP-valueLower 95%Intercept1260.151061107.443394611.728511257.41271E-061006.087805X Variable 10.1621362650.0980775381.6531437110.142280094-0.06978026<br />2003 NIFTY FIIMEAN1344.822222522.2222222SD294.6605487963.0119161CV21.91074358184.4065371<br />Regression Analysis: The significance level is 0.142280094 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. <br />Correlation: The R-square value is 0.280788725. So there is not strong correlation between NIFTY and FII.<br />YEAR 2002<br />Regression Model 19: NIFTY = a+bFII (for the year 2002)<br />SUMARRY OUTPUT<br />Regression StatisticsMultiple R0.215054448R Square0.046248416Adjusted R Square-0.271668779Standard Error66.97676673Observations5ANOVA dfSSMSFSignificance FRegression1652.5761533652.57615330.14547310.728309653Residual313457.661854485.887282Total414110.238 CoefficientsStandard Errort StatP-valueLower 95%Intercept1021.79824236.7605633927.796044120.0001022904.8097226X Variable 10.1336881860.3505109660.3814094260.7283097-0.98179414<br />2002NIFTYFIIMEAN1013.67-60.8SD53.1229479685.45501741CV5.240655042-140.5510155<br />Regression Analysis: The significance level is 0.728309653 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. <br />Correlation: The R-square value is 0.046248416. So there is negligible correlation between NIFTY and FII.<br />REGRESSION & CORRELATION ANALYSIS BETWEEN THE CV OF NIFTY AND CV OF FII (2002-2008)<br />REGRESSION OF CV OF NIFTY AND FIIYEARCV OF NIFTYCV OF FII200820.89-2704.34200715.38142.86200615.41151.01200511.53138.5320047.1397.65200321.91184.420025.24-140.55SUMMARY OUTPUTRegression StatisticsMultiple R0.410351992R Square0.168388757Adjusted R Square0.002066509Standard Error6.369548093Observations7ANOVA dfSSMSFSignificance FRegression141.0752283241.0752281.0124247280.360504852Residual5202.855714540.571143Total6243.9309429 CoefficientsStandard Errort StatP-valueLower 95%Intercept13.17862492.5197779275.2300740.0033815266.701329534X Variable 1-0.002459410.002444272-1.0061930.360504852-0.008742612<br />Regression Analysis: The significance level is 0.360504852 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. <br />Correlation: The R-square value is 0.168388757. So there is not so correlation between NIFTY and FII.<br />CONCLUSION:<br />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. <br />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.<br />BIBLIOGRAPHY<br />www.rbi.org.in<br />www.bseindia.com<br />www.nseindia.com<br />www.econstats.com<br />www.google.co.in<br />www.wikipedia.org<br />](https://image.slidesharecdn.com/eapanalysis-100617114539-phpapp01/85/IMPACT-OF-FII-ON-SENSEX-NIFTY-1-320.jpg)
