Eapanalysis 100617114539 Phpapp01

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,
companys 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: = 0]
Alternate (Ha):There is an association between Sensex /Nifty and FII

[Ha : 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
mar
apr
may
jun
jul
aug
sep
oct
nov
dec
jan'07
feb
apr
may
jun
jul
aug
sep
oct
nov
dec
jan'06
feb
apr
17578.7
15644.4
17287.3
16415.6
13461.6
14355.8
14564.5
12860.4
9788.06
9092.72
9647.31
14090.9
12938.1
13872.4
14544.5
14650.5
15551
15318.6
17291.1
19838
19363.2
20287
9919.89
10370.2
11851.9
-8991
-1643
20238
-1432
-734
-3011
-499
464
-1403
-5250
-574
2385
-2433
1963
1847
3279
4685
-3323
7057
6833
-265
2396
1692
685
3276
9.774443221
9.657868304
9.757727407
9.705987381
9.507596467
9.571909321
9.58634234
9.461908102
9.188918554
9.115229372
9.174434399
9.553284478
9.467931726
9.537656534
9.584968194
9.592229744
9.651880224
9.636823055
9.757947197
9.895354569
9.871129636
9.917735566
9.202297112
9.246691587
9.380243471
may
jun
10398.6
10609.3
-3906
-1157
9.249426461
9.269486254
jul
10743.9
-595
9.282093431
aug
sep
oct
nov
dec
apr'05
may
jun
jul
aug
sep
oct
nov
dec
jan'04
feb
apr
may
jun
jul
aug
sep
oct
apr'03
may
jun
jul
aug
sep
oct
nov
dec
Jan' 02
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
11699.1
12454.4
12961.9
13696.3
13786.9
6154.44
6715.11
7193.85
7635.42
7805.43
8634.48
7892.32
8788.81
9397.93
5695.67
5667.51
5655.09
4759.62
4795.46
5170.32
5192.08
5583.61
5672.27
2959.79
3180.75
3607.13
3792.61
4244.73
4453.24
4906.87
5044.82
5838.96
3311.03
3562.31
3469.35
3338.16
3125.73
3244.7
2987.65
3181.23
2991.36
2949.32
3228.82
1212
1064
1703
2159
-507
-299
-470
1313
1746
1204
1035
-469
-17
2122
2390
1421
-350
-503
1288
1645
1139
1008
4227
846
-457
-477
-432
448
411
807
2808
746
131
279
276
-73
87
-272
43
-33
-131
-9
-184
9.367267195
9.429829253
9.469769564
9.524881002
9.531474145
8.724929052
8.81211549
8.880981773
8.940553226
8.962574924
9.063518769
8.973645414
9.0812346
9.148244731
8.647461516
8.642505147
8.640311304
8.467923112
8.475424916
8.550689861
8.554889667
8.6275908
8.643344669
7.992873599
8.064872297
8.190667721
8.240809715
8.353433492
8.4013872
8.498391543
8.526117253
8.672307978
8.105014598
8.17816449
8.151722536
8.113175036
8.047423135
8.084778175
8.002242404
8.065023193
8.003483412
7.989329914
8.079872024
Dec
Jan' 01
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan'
2000
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan' 98
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Apr'97
May
Jun
Jul
Aug
3377.28
4326.72
4247.02
3604.38
3519.16
3631.91
3456.78
3329.28
3244.95
2811.6
2989.35
3287.56
3262
53
444
668
354
229
265
138
125
116
-179
35
70
28
8.124825931
8.372565028
8.35397284
8.189905052
8.165977604
8.19751396
8.148092799
8.110511343
8.084855221
7.941508995
8.002811251
8.097900927
8.090095783
5205.29
5446.98
5001.28
4657.55
4433.61
4748.77
4279.86
4477.31
4090.38
3711.02
3997.99
3972.12
3224.36
3622.22
3892.75
4006.81
3686.39
3250.69
3211.31
2933.85
3102.29
2812.49
2810.66
3055.41
3841.11
3755.1
4256.09
4305.76
3876.08
129
477
342
349
155
-160
-194
75
235
-271
78
114
62
44
256
457
343
42
233
33
-154
-100
-23
356
-31
-115
-269
-26
-48
8.557430695
8.602816606
8.517449159
8.446244838
8.39696943
8.465640916
8.361675578
8.406777699
8.316393154
8.21906205
8.293547014
8.287055236
8.07848976
8.194842377
8.266871128
8.295750692
8.212402938
8.08662256
8.074434233
7.984070833
8.039895827
7.941825491
7.94117461
8.024669069
8.253516666
8.230870195
8.356106177
8.36770894
8.262579613
Sep
Oct
Nov
3902.03
3803.24
3560.29
-43
-140
-50
8.26925221
8.243608614
8.177597281
Regression Model 1: Sensex = a+bFII (for the year 1997 to 2008)

25000
20000
15000
10000
sensex
5000
FII
-5000
feb,08
sep
may
dec
aug
jun
jan'04
sep
sep
Apr
Nov
Jun
Jan' 2000
Aug
Mar
Oct
Aug
-10000
-15000
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.21084303
R Square
0.044454783
Adjusted R Square
0.036072808
Standard Error
4665.921751
Observations
116
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
1
114
115
SS
115464108.6
2481874140
2597338248
MS
F
115464108.6 5.303616
21770825.79
Coefficients
6875.450658
0.386253228
Standard Error
440.4479733
0.167720469
t Stat
P-value
15.61013122 4.45E-30
2.302958184 0.023095
Significance
F
0.023095022
Lower 95%
6002.926644
0.05400028
MEAN OF SENSEX
SD OF SENSEX
CV OF SENSEX
7058.458103
4731.896762
67.03867464
MEAN OF FII
SD OF FII
CV OF FII
473.8017241
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
feb,08
mar
apr
may
jun
jul
aug
sep
oct
nov
dec
jan'07
feb
apr
may
sensex
FII
17578.7
15644.4
17287.3
16415.6
13461.6
14355.8
14564.5
12860.4
9788.06
9092.72
9647.31
14090.9
12938.1
13872.4
14544.5
log sensex
-8991
-1643
20238
-1432
-734
-3011
-499
464
-1403
-5250
-574
2385
-2433
1963
1847
9.774443221
9.657868304
9.757727407
9.705987381
9.507596467
9.571909321
9.58634234
9.461908102
9.188918554
9.115229372
9.174434399
9.553284478
9.467931726
9.537656534
9.584968194
jun
jul
aug
sep
oct
nov
dec
jan'06
feb
apr
may
jun
jul
aug
sep
oct
nov
dec
apr'05
may
jun
jul
aug
sep
oct
nov
dec
jan'04
feb
apr
may
jun
jul
aug
sep
oct
apr'03
may
jun
jul
aug
sep
oct
14650.5
15551
15318.6
17291.1
19838
19363.2
20287
9919.89
10370.2
11851.9
10398.6
10609.3
10743.9
11699.1
12454.4
12961.9
13696.3
13786.9
6154.44
6715.11
7193.85
7635.42
7805.43
8634.48
7892.32
8788.81
9397.93
5695.67
5667.51
5655.09
4759.62
4795.46
5170.32
5192.08
5583.61
5672.27
2959.79
3180.75
3607.13
3792.61
4244.73
4453.24
4906.87
3279
4685
-3323
7057
6833
-265
2396
1692
685
3276
-3906
-1157
-595
1212
1064
1703
2159
-507
-299
-470
1313
1746
1204
1035
-469
-17
2122
2390
1421
-350
-503
1288
1645
1139
1008
4227
846
-457
-477
-432
448
411
807
9.592229744
9.651880224
9.636823055
9.757947197
9.895354569
9.871129636
9.917735566
9.202297112
9.246691587
9.380243471
9.249426461
9.269486254
9.282093431
9.367267195
9.429829253
9.469769564
9.524881002
9.531474145
8.724929052
8.81211549
8.880981773
8.940553226
8.962574924
9.063518769
8.973645414
9.0812346
9.148244731
8.647461516
8.642505147
8.640311304
8.467923112
8.475424916
8.550689861
8.554889667
8.6275908
8.643344669
7.992873599
8.064872297
8.190667721
8.240809715
8.353433492
8.4013872
8.498391543
nov
dec
MEAN
5044.82
5838.96
2808
746
10396.14237
853.3050847
8.526117253
8.672307978
Regression Model 2: Sensex = a+bFII (for the year 2003 to 2008)
25000
20000
15000
10000
sensex
5000
FII
YEAR
0
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57 59 61
-5000
-10000
-15000
SUMMARY OUTPUT
Multiple R
0.152496
R Square
0.023255
Adjusted R
Square
0.006414
Standard Error
4735.534
Observations
60
ANOVA
df
Regression
Residual
Total
SS
MS
F
1 30966998.94 30966998.94 1.380896666
58 1300666431 22425283.29
59 1331633430
Coefficients
Standard
t Stat
P-value
Significance F
0.244750177
Lower 95%
Error
Intercept
X Variable 1
10052.94 628.225655 16.00211157 6.12076E-23

0.202526 0.172345719 1.175115597 0.244750177
CV OF SENSEX
CV OF FII
8795.406755
-0.142461294
46.12110148
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)
25000
20000
15000
10000
sensex
5000
FII
0
-5000
-10000
-15000
feb,08 mar apr may jun
jul
aug sep
oct
nov dec
SUMMARY OUTPUT
Multiple R
0.267875613
R Square
0.071757344
Adjusted R
Square
-0.03138073
Standard Error
3113.046757
Observations
11
ANOVA
df
1
9
10
SS
6742463.899
87219541.02
93962004.92
MS
6742463.899
9691060.114
F
0.695740592
Significance F
0.425802804
Coefficients
13728.62199
0.112328728
Standard Error
939.2603999
0.134668856
t Stat
14.61641734
0.834110659
P-value
1.41244E-07
0.425802804
Lower 95%
11603.86736
-0.192313388
Regression
Residual
Total
Intercept
X Variable 1
MEAN OF sensex
13699.67182
MEAN OF FII
-257.7272727
SD of Sensex
2922.670089
SD of FII
6969.829137
COFFICIENT OF VARIATION OF SENSEX

21.33386936
COFFICIENT OF VARIATION OF FII

-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

YEAR 2007
25000
20000
15000
Series1
10000
Series2
5000
0
jan'07 feb
apr
may
jun
jul
aug
sep
oct
nov
dec
-5000
SUMMARY OUTPUT
Multiple R
0.375969954
R Square
0.141353406
Adjusted R
Square
0.045948229
Standard Error
2546.353022
Observations
11
ANOVA
df
Regression
Residual
Total
SS
1 9606641.041
9 58355223.4
10 67961864.45
Coefficients
Standard
MS
9606641.041
6483913.712
F
1.481611488
t Stat
P-value
Significance F
0.25447517
Lower 95%
Error
Intercept
X Variable 1
15504.54006 937.1439469
0.294602005 0.242029626
MEAN OF SENSEX
16158.66364
16.54445948
1.217214643
4.80294E-08
0.25447517
SD OF SENSEX
CV OF SENSEX
2485.628957
15.38263939
MEAN OF FII
SD OF FII
2220.363636
3172.150182
13384.57317
-0.252907046
CV OF FII
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
YEAR 2006
15000
10000
Series1
5000
Series2
0
jan'06
feb
apr
-5000
SUMMARY OUTPUT
may
jun
jul
aug
sep
oct
nov
dec
Multiple R
0.359580108
R Square
0.129297854
Adjusted R
Square
0.032553171
Standard Error
1364.872053
Observations
11
ANOVA
df
SS
1 2489706.162
9 16765881.48
10 19255587.65
Regression
Residual
Total
Intercept
X Variable 1
Standard
Coefficients
Error
11551.15861 426.6042334
0.254113983
0.2198095
MEAN OF SENSEX
11681.12636
MEAN OF FII
511.4545455
MS
2489706.162
1862875.72
F
Significance F
1.336485378 0.277420296
t Stat
27.07699011
1.156064608
P-value
6.1914E-10
0.277420296
SD OF SENSEX
1323.067635
CV OF SENSEX
11.32654159
SD OF FII
1872.186634
CV OF FII
366.0514216
Lower 95%
10586.11279
-0.24312965

SENSEX .
YEAR 2005
10000
8000
6000
Sensex
4000
FII
2000
0
apr'05
may
jun
jul
aug
sep
oct
nov
dec
-2000
SUMMARY OUTPUT
Multiple R
0.49445385
R Square
0.24448461
Adjusted R
Square
0.13655384
Standard Error
958.6809462
Observations
9
ANOVA
Regression
Residual
Total
Intercept
X Variable 1
df
SS
1 2081874.002
7 6433484.096
8 8515358.098
Standard
Coefficients
Error
7454.780317 394.125638
0.506855985 0.336768493
MS
2081874.002
919069.1566
F
2.265198421
Significance F
0.176025491
t Stat
18.91473073
1.505057614
P-value
2.8707E-07
0.176025491
Lower 95%
6522.821276
-0.289474961
MEAN OF SENSEX
7801.976667
SD OF SENSEX
CV OF SENSEX
972.7028836
12.46739032
MEAN OF FII
SD OF FII
CV OF FII
685
948.9020556
138.5258475

SENSEX .
YEAR 2004
7000
6000
5000
4000
Sensex
3000
FII
2000
1000
0
-1000
jan'04
feb
apr
may
jun
jul
aug
sep
oct
SUMMARY OUTPUT
Multiple R
0.418527
R Square
0.175165
Adjusted R
Square
0.057331
Standard Error
373.66
Observations
9
ANOVA
df
1
7
8
SS
207553.5
977352.6
1184906
MS
207553.4822
139621.7975
F
1.486540683
Significance F
0.262239304
Coefficients
5199.112
0.114115
Standard Error
178.2767
0.093596
t Stat
29.16315526
1.219237747
P-value
1.43502E-08
0.262239304
Lower 95%
4777.554089
-0.107203304
Regression
Residual
Total
Intercept
X Variable 1
MEAN OF SENSEX
SD OF SENSEX
CV OF SENSEX
5354.625556
362.8446354
6.776284012
MEAN OF FII
SD OF FII
CV OF FII
1362.777778
1330.758495
97.65043993

SENSEX .
YEAR 2003
7000
6000
5000
4000
Series1
3000
Series2
2000
1000
0
-1000
apr'03
may
jun
jul
aug
sep
oct
nov
dec
SUMMARY OUTPUT
Multiple R
0.52719538
R Square
0.277934969
Adjusted R
Square
0.174782821
Standard Error
853.0358425
Observations
9
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
MEAN OF SENSEX
SS
1 1960647.307
7 5093691.04
8 7054338.347
Standard
Coefficients
Error
3972.32749 323.4629397
0.484670764 0.295266628
SD OF SENSEX
MS
1960647.307
727670.1485
F
2.694417672
Significance F
0.144704643
t Stat
12.28062632
1.641468145
P-value
5.4438E-06
0.144704643
Lower 95%
3207.459179
-0.213523865
CV OF SENSEX
4225.433333
MEAN OF FII
522.2222222
885.3334806
SD OF FII
963.0119161
20.95248962
CV OF FII
184.4065371

SENSEX.
Correlation: The R-square value is 0.277934969. So there is not such significant
REGRESSION & CORRELATION ANALYSIS FOR TWO YEAR

PERIOD
YEAR 2007-08
Regression Model 9: Sensex = a+bFII (for the year 2007-08)
25000
20000
15000
10000
sensex
5000
FII
-5000
feb,08
mar
apr
may
jun
jul
aug
sep
oct
nov
dec
jan'07
feb
apr
may
jun
jul
aug
sep
oct
nov
dec
-10000
-15000
SUMMARY OUTPUT
Multiple R
0.34656377
R Square
0.12010644
Adjusted R Square
Standard Error
Observations
0.07611177
2930.34103
22
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
1
20
21
SS
23442423.03
171737970.5
195180393.6
Coefficient
s
14746.8069
0.18583255
Standard Error
634.4249095
0.112470517
MS
F
Significance F
23442423.03 2.730022133 0.114091671
8586898.526
t Stat
P-value
23.24436927 6.01522E-16
1.652277862 0.114091671
MEAN OF SENSEX
SD OF SENSEX
CV OF SENSEX
14929.16773
2978.562753
19.95129807
MEAN OF FII
SD OF FII
CV OF FII
981.3181818
6979.000955
711.1863496
Lower 95%
13423.4197
-0.048776841

SENSEX.
YEAR 2005-06
Regression Model 10: Sensex = a+bFII (for the year 2005 06)
16000
14000
12000
10000
8000
6000
Series2
4000
2000
dec
nov
oct
sep
aug
jul
jun
may
dec
nov
oct
sep
aug
jul
jun
may
apr
apr'05
-4000
feb
-2000
jan'06
-6000
SUMMARY OUTPUT
Multiple R
R Square
Adjusted R Square
Standard Error
Observations
0.15281721
0.0233531
-0.0309051
2355.48457
20
ANOVA
Regression
Residual
Total
Intercept
X Variable 1
df
1
18
19
SS
2388031.161
99869536.32
102257567.5
Coefficients
9802.34795
0.22586896
Standard Error
564.4583832
0.344283993
MS
F
Significance F
2388031.161 0.430407134 0.520088132
5548307.573
t Stat
P-value
17.36593564 1.08609E-12
0.656054216 0.520088132
Lower 95%
8616.464896
-0.497444862
MEAN OF SENSEX
SD OF SENSEX
CV OF SENSEX
9935.509
2261.16748
22.7584463
MEAN OF FII
SD OF FII
CV OF FII
589.55
1529.848537
259.4942816

SENSEX.
YEAR 2003-04
Regression Model 11: Sensex = a+bFII (for the year 2003-04)
7000
6000
5000
4000
3000
2000
1000
0
-1000
SUMMARY OUTPUT
Multiple R
0.5173024
R Square
0.26760178
sensex
FII
Adjusted R Square
Standard Error
Observations
0.22182689
799.874608
18
ANOVA
Regression
Residual
Total
Intercept
X Variable 1
MEAN OF SENSEX
4790.029444
df
1
16
17
SS
3740292.027
10236790.22
13977082.25
MS
F
3740292.027 5.846038762
639799.3888
Significance F
0.027908504
Coefficient
s
4442.21253
0.36903651
Standard Error
237.1459142
0.152629504
t Stat
P-value
18.73198004 2.62052E-12
2.417858301 0.027908504
Lower 95%
3939.485654
0.045476421
SD OF SENSEX
CV OF SENSEX
881.1949667
18.39644154
MEAN OF FII
SD OF FII
CV OF FII
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
REGRESSION & CORRELATION ANALYSIS

BETWEEN THE CV OF SENSEX AND CV OF FII (20032008)
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

YEAR
2008
2007
2006
2005
2004
2003
CV OF
SENSEX
21.33
15.38
11.32
12.46
6.77
20.95
CV OF FII
-2704.34
142.86
366.05
138.52
97.65
184.4
SUMMARY OUTPUT
Multiple R
0.562564171
R Square
0.316478446
Adjusted R Square
0.145598058
Standard Error
5.274543682
Observations
6
ANOVA
df
1
4
5
SS
51.52543912
111.2832442
162.8086833
Intercept
Coefficients
13.89943053
Standard
Error
2.232554594
X Variable 1
-0.002711998
0.001992799
Regression
Residual
Total
MS
51.52543912
27.82081105
F
1.852046622
t Stat
6.225796481
1.360899196
P-value
0.003389507
0.245173461

SENSEX.
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.
44.89% of the traded value of all stocks on the NSE
about 58.64% of the total market capitalization as on
March 31, 2008.
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
feb,08
mar
apr
may
jun
jul
aug
sep
oct
nov
dec
jan'07
feb
apr
may
jun
jul
aug
sep
oct
nov
dec
FII
NIFTY
-8991
-1643
20238
-1432
-734
-3011
-499
464
-1403
-5250
-574
2385
-2433
1963
1847
3279
4685
-3323
7057
6833
-265
2396
LOG OF NIFTY
5223.5
4734.5
5165.9
4870.1
4040.55
4332.95
4360
3929.12
2885.6
2755.1
2959.55
3745.3
3821.55
4087.9
4295.8
4318.3
4528.85
4464.4
5021.35
5900.65
5762.75
6138.6
8.560922954
8.462631403
8.549834616
8.49086975
8.3041361
8.374003882
8.380227336
8.276170761
7.96748813
7.921209019
7.992792509
8.228257
8.248411378
8.31578667
8.36539308
8.370617085
8.418223323
8.403890106
8.521454101
8.682817793
8.65917007
8.722351982
jan'06
feb
apr
may
jun
jul
aug
sep
oct
nov
dec
apr'05
may
jun
jul
aug
sep
oct
nov
dec
jan'04
feb
apr
may
jun
jul
aug
sep
oct
apr'03
may
jun
jul
aug
sep
oct
nov
dec
Aug,02
Sep
Oct
Nov
1692
685
3276
3001.1
3074.7
3508.1
8.006734167
8.030962615
8.162829859
-3906
-1157
3185.3
3128.2
8.066301755
8.048213038
-595
1212
1064
1703
2159
-507
-299
-470
1313
1746
1204
1035
-469
-17
2122
2390
1421
-350
-503
1288
1645
1139
1008
4227
846
-457
-477
-432
448
411
807
2808
746
-33
-131
-9
-184
3143.2
3413.9
3588.4
3744.1
3954.5
3966.4
1902.5
2087.55
2220.6
2312.3
2384.65
2601.4
2370.95
2652.25
2836.55
1800.3
1779.9
1796.1
1483.6
1505.6
1632.3
1631.75
1745.5
1800.1
934.05
1006.8
1134.15
1185.85
1356.55
1417.1
1555.9
1615.25
1897.75
1010.6
963.15
951.4
1049.7
8.052996668
8.135610612
8.1854617
8.227936547
8.28260945
8.285614161
7.55092409
7.643746409
7.705532709
7.745997979
7.776807642
7.863805041
7.771045998
7.883163615
7.950343804
7.495708597
7.484312462
7.493372927
7.302226846
7.316946769
7.397745342
7.397408338
7.464796327
7.495597498
6.83952997
6.914532263
7.033638751
7.078215096
7.212699991
7.256367809
7.349809435
7.387245022
7.548424253
6.918299493
6.870209163
6.857934584
6.956259688
Dec
53
1093.5
6.99713884
Regression Model 12: NIFTY = a+bFII (for the year 2002 to 2008)
25000
20000
15000
10000
FII
5000
NIFTY
-5000
apr
jul
oct
jan'07
may
aug
nov
feb
jun
sep
dec
jun
sep
dec
apr
jul
oct
jun
sep
dec
Oct
-10000
-15000
SUMMARY OUTPUT
Multiple R
0.166070585
R Square
0.027579439
Adjusted R Square
0.012144192
Standard Error
1415.34751
Observations
65
ANOVA
df
Regression
Residual
Total
Intercept
1
63
64
SS
3579299.314
126202140.2
129781439.5
Coefficients
2851.214089
Standard Error
179.9537657
MS
F
3579299.314 1.786783
2003208.575
t Stat
15.84414795
P-value
1.18E-23
Significance
F
0.18612593
Lower 95%
2491.605187
X Variable 1
0.068682765
0.051382099
MEAN OF NIFFTY
SD OF NIFFTY
CV OF NIFFTY
132.34375
427.7595418
323.218544
MEAN OF FII
SD OF FII
CV OF FII
3757.466406
684.6983854
18.22234217
1.33670608 0.186126
0.033996167

NIFTY.
between NIFTY and FII.
REGRESSION & CORRELATION ANALYSIS BETWEEN

NIFTYAND FII
YEAR 2008
Regression Model 13: NIFTY = a+bFII (for the year 2008)
25000
20000
15000
10000
FII
5000
NIFTY
0
-5000
feb,08 mar apr may jun
-10000
-15000
SUMMARY OUTPUT
jul
aug sep oct nov dec
Multiple R
0.271835529
R Square
0.073894555
Adjusted R
Square
-0.02900605
Standard Error
914.679559
Observations
11
ANOVA
Regression
Residual
Total
Intercept
X Variable 1
MEAN OF NIFTY
4114.260909
df
1
9
10
SS
600803.5
7529748
8130552
Coefficients
4122.902787
0.033531096
Standard
Error
275.9747
0.039569
Significance
MS
F
F
600803.5016 0.718115842 0.418726971
836638.6957
t Stat
P-value
14.93942053 1.16845E-07
0.847417159 0.418726971
SD OF NIFTY
859.7331385
Lower 95%
3498.60454
-0.05597926
CV OF NIFTY
20.89641755
MEAN OF IIF
SD OF IIF
CV OF FII
-257.7272727
6969.829137
-2704.342875

NIFTY.
YEAR 2007

8000
6000
4000
Series1
2000
Series2
0
jan'07 feb
apr
may
jun
jul
aug
sep
oct
nov
dec
-2000
-4000
SUMMARY OUTPUT
Multiple R
0.375969954
R Square
0.141353406
Adjusted R
Square
0.045948229
Standard Error
3249.646001
Observations
11
ANOVA
df
Regression
Residual
Total
SS
1 15646112.35
9 95041792.2
10 110687904.5
MS
F
15646112.35 1.481611488
10560199.13
Significance
F
0.25447517
Coefficients
Intercept
X Variable 1
Standard
Error
-5532.7477 6444.470823
0.479811419 0.394188011
Nifty
MEAN
SD
CV
t Stat
P-value
0.858526301 0.412882115
1.217214643
0.25447517
Lower 95%
20111.1535
0.41190381
FII
16158.66364
2220.363636
2485.628957
3172.150182
15.38263939
142.8662463

NIFTY.
YEAR 2006
5000
4000
3000
2000
Series3
1000
Series4
0
-1000
jan'06
feb
apr
may
jun
jul
aug
sep
oct
nov
dec
Series1
Series2
-2000
-3000
-4000
-5000
SUMMARY OUTPUT
Multiple R
0.388493066
R Square
0.150926863
Adjusted R Square
0.04479272
Standard Error
729.5645734
Observations
10
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
MEAN
SD
CV
1
8
9
SS
756900.6958
4258115.734
5015016.43
Coefficients
4412.500671
Standard
Error
276.7073739
0.082705797
0.069355393
4594.685
2202.8
708.1678071
3326.469173
15.41276077
151.0109485
Significance
MS
F
F
756900.6958 1.422038748 0.267235855
532264.4668
t Stat
15.94645133
P-value
Lower 95%
2.39587E-07 3774.412323
1.192492661 0.267235855 0.077228025
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.
YEAR 2005
3500
3000
2500
2000
1500
Series1
1000
Series2
500
0
-500
apr'05
may
jun
jul
-1000
SUMMARY OUTPUT
Multiple R
0.509265428
R Square
0.259351276
Adjusted R Square
0.153544315
Standard Error
267.2273219
aug
sep
oct
nov
dec
Observations
ANOVA
Regression
Residual
Total
Intercept
df
1
7
8
SS
175039.4211
499873.0911
674912.5122
Coefficients
Standard Error
2273.631894
109.8604694
X Variable 1
0.146968849
0.093872464
MEAN
2374.305556
SD
CV
273.8435304
948.9020556
11.53362632
138.5258475
Significance
MS
F
F
175039.4211 2.451174048 0.161417704
71410.44158
t Stat
20.69563244
P-value
Lower 95%
1.54425E-07 2013.853164
1.565622575 0.161417704 0.075004256
685.00

YEAR 2004
5000
4000
3000
Series1
2000
Series2
1000
0
jan'04
feb
apr
may
jun
jul
aug
sep
oct
-1000
SUMMARY OUTPUT
Multiple R
0.436526419
R Square
0.190555314
Adjusted R Square
0.074920359
Standard Error
122.5597781
Observations
9
ANOVA
Regression
Residual
Total
Intercept
X Variable 1
MEAN
SD
CV
df
1
7
8
SS
24753.00108
105146.2945
129899.2956
Coefficients
1632.422314
Standard
Error
58.47442741
0.03940882
0.030699229
1686.127778
120.1384829
7.12511142
1362.777778
1330.758495
97.65043993
Significance
MS
F
F
24753.00108 1.647904079 0.240101442
15020.89921
t Stat
27.91685847
P-value
Lower 95%
1.94369E-08 1494.152265
1.283707163 0.240101442 0.033183321

YEAR 2003
3000
2500
2000
1500
Series1
1000
Series2
500
0
-500
apr'03
may
jun
-1000
SUMMARY OUTPUT
jul
aug
sep
oct
nov
dec
Multiple R
R Square
Adjusted R Square
Standard Error
Observations
0.529895014
0.280788725
0.178044258
283.3495135
9
ANOVA
Regression
Residual
Total
Intercept
X Variable 1
2003
MEAN
SD
CV
df
1
7
8
SS
219414.9228
562008.6277
781423.5506
Coefficients
1260.151061
0.162136265
Standard
Error
107.4433946
0.098077538
NIFTY
1344.822222
294.6605487
21.91074358
FII
522.2222222
963.0119161
184.4065371
MS
219414.9228
80286.94682
Significance
F
F
2.73288413 0.142280094
t Stat
P-value
Lower 95%
11.72851125 7.41271E-06 1006.087805
1.653143711 0.142280094 -0.06978026

NIFTY.
YEAR 2002
1200
1000
800
600
Series1
400
Series2
200
0
Aug,02
-200
Sep
Oct
Nov
Dec
-400
SUMARRY OUTPUT
Multiple R
0.215054448
R Square
0.046248416
Adjusted R Square 0.271668779
Standard Error
66.97676673
Observations
5
ANOVA
df
1
3
4
Regression
Residual
Total
Intercept
X Variable 1
Coefficients
Standard Error t Stat
P-value
Lower 95%
1021.798242
36.76056339
27.79604412 0.0001022 904.8097226
0.133688186
0.350510966
0.381409426 0.7283097 -0.98179414
2002 NIFTY
MEAN
SD
CV
SS
652.5761533
13457.66185
14110.238
Significance
MS
F
F
652.5761533 0.1454731 0.728309653
4485.887282
1013.67
53.12294796
5.240655042
FII
-60.8
85.45501741
-140.5510155

NIFTY.
Correlation: The R-square value is 0.046248416. So there is negligible correlation
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
2008
2007
2006
2005
2004
2003
2002
SUMMARY OUTPUT
Multiple R
0.410351992
R Square
0.168388757
Adjusted R
Square
0.002066509
CV OF FII
20.89
15.38
15.41
11.53
7.13
21.91
5.24
-2704.34
142.86
151.01
138.53
97.65
184.4
-140.55
Standard Error
Observations
6.369548093
7
ANOVA
df
Regression
Residual
Total
SS
1
5
6
Significance
MS
F
F
41.07522832 41.075228 1.012424728 0.360504852
202.8557145 40.571143
243.9309429
Intercept
Coefficients
13.1786249
Standard Error
2.519777927
X Variable 1
-0.00245941
0.002444272
t Stat
P-value
Lower 95%
5.230074 0.003381526 6.701329534
-1.006193 0.360504852 0.008742612

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

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AN ASSIGNMENT ON

IMPACT OF FII FLOW ON THE BSE SENSEX

SUBMITTED TO: PROF. MANOJ KUMAR SAHOO

SENSEX & FII

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

Year 1997-2008 (Overall regression analysis and

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

Regression Analysis: The significance level is 0.023095022 which is less

Year 2003-2008 (Overall regression analysis and

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

10052.94 628.225655 16.00211157 6.12076E-23

Regression Analysis: The significance level is 0.244750177 which is

feb,08 mar apr may jun

COFFICIENT OF VARIATION OF SENSEX

COFFICIENT OF VARIATION OF FII

Regression Analysis: The significance level is 0.425802804 which is

Correlation: The R-square value is 0.071757344 .So there is a negligible

Regression Analysis: The significance level is 0.25447517 which is higher

Regression Analysis: The significance level is 0.277420296 which is higher

Regression Analysis: The significance level is 0.176025491 which is higher

Regression Analysis: The significance level is 0.262239304 which is higher

Regression Analysis: The significance level is 0.144704643 which is higher

REGRESSION & CORRELATION ANALYSIS FOR TWO YEAR

Regression Analysis: The significance level is 0.114091671 which is higher

Regression Analysis: The significance level is 0.520088132 which is higher

Regression Analysis: The significance level is 0.027908404 which is less than

REGRESSION & CORRELATION ANALYSIS

Regression and CV of SENSEX and FII

Regression Analysis: The significance level is 0.245173461 which is higher

NIFTY AND FII

The NIFTY moves up and down based on movement of 50 companies

REGRESSION & CORRELATION ANALYSIS

Regression Analysis: The significance level is 0.18612573 which is higher

REGRESSION & CORRELATION ANALYSIS BETWEEN

feb,08 mar apr may jun

aug sep oct nov dec

Regression Analysis: The significance level is 0.418726971 which is higher

Regression Model 14: NIFTY = a+bFII (for the year 2007)

Regression Analysis: The significance level is 0.25447517 which is higher

Regression Analysis: The significance level is 0.267236 which is higher than

Regression Analysis: The significance level is 0.161418 which is higher than

Regression Analysis: The significance level is 0.240101 which is higher than

Regression Analysis: The significance level is 0.142280094 which is higher

Regression Analysis: The significance level is 0.728309653 which is higher

REGRESSION & CORRELATION ANALYSIS BETWEEN THE

Regression Analysis: The significance level is 0.360504852 which is higher

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