Abstract
Purpose: The purpose of this research is to examine the effect of FIIs and DIIs activities on volatility of Indian stock market. This study also examined the causal relationship between FIIs and DIIs.
Design/Methodology/Approach: This study uses Nifty, Nifty Next 50, BSE Sensex, and BSE 100 to represent Indian stock market. Ganger Causality test is used to see causal relationship between FIIs and DIIs. TGARCH model is used to check volatility of Indian stock market.
Practical implication: This will also help investors to make investment decisions, especially investing in these indices as they will be able to forecast effect of recent news and historical volatility of returns.
Originality/value: This paper will be useful to investors investing in these four major indices.