Impact of Fii Flow On The Bse Sensex and Nifty

AN ASSIGNMENT ON
IMPACT OF FII FLOW ON THE BSE SENSEX

AND NIFTY
SUBMITTED BY:
SOUMITA
PATRA-67
DIPTAKSHYA
BANERJEE-76
AVIJIT
BHATTACHARYYA-91
PRITAM
PRIYADARSHINI DASH- 122
SUBMITTED TO: PROF. MANOJ KUMAR SAHOO
SENSEX & FII

FII: Foreign Institutional Investor (FII) is used to denote an investor - mostly of
the form of an institution or entity, which invests money in the financial markets of
a country different from the one where in the institution or entity was originally
incorporated.FII investment is frequently referred to as hot money for the reason
that it can leave the country at the same speed at which it comes in. In countries
like India, statutory agencies like SEBI have prescribed norms to register FIIs and
also to regulate such investments flowing in through FIIs. FEMA norms includes
maintenance of highly rated bonds (collateral) with security exchange.
SENSEX: Index of top 30 highly liquid companies listed in BSE. All companies
selected in Sensex depends on various technical factor like size, volume,
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 19972008
sensex
feb,0
8
mar
apr
may
jun
jul
aug
sep
oct
nov
dec
jan'0
7
feb
apr
may
jun
jul
aug
sep
oct
nov
dec
jan'0
6
FII
log sensex
17578.7
15644.4
17287.3
16415.6
13461.6
14355.8
14564.5
12860.4
9788.06
9092.72
9647.31
-8991
-1643
20238
-1432
-734
-3011
-499
464
-1403
-5250
-574
9.774443221
9.657868304
9.757727407
9.705987381
9.507596467
9.571909321
9.58634234
9.461908102
9.188918554
9.115229372
9.174434399
14090.9
12938.1
13872.4
14544.5
14650.5
15551
15318.6
17291.1
19838
19363.2
20287
2385
-2433
1963
1847
3279
4685
-3323
7057
6833
-265
2396
9.553284478
9.467931726
9.537656534
9.584968194
9.592229744
9.651880224
9.636823055
9.757947197
9.895354569
9.871129636
9.917735566
9919.89
1692
9.202297112
feb
apr
10370.2
11851.9
685
3276
9.246691587
9.380243471
may
jun
10398.6
10609.3
-3906
-1157
9.249426461
9.269486254
jul
aug
sep
oct
nov
dec
apr'0
5
may
jun
jul
aug
sep
oct
nov
dec
jan'0
4
feb
apr
may
jun
jul
aug
sep
oct
apr'0
3
may
jun
jul
aug
sep
oct
nov
dec
Jan'
02
Feb
10743.9
11699.1
12454.4
12961.9
13696.3
13786.9
-595
1212
1064
1703
2159
-507
9.282093431
9.367267195
9.429829253
9.469769564
9.524881002
9.531474145
6154.44
6715.11
7193.85
7635.42
7805.43
8634.48
7892.32
8788.81
9397.93
-299
-470
1313
1746
1204
1035
-469
-17
2122
8.724929052
8.81211549
8.880981773
8.940553226
8.962574924
9.063518769
8.973645414
9.0812346
9.148244731
5695.67
5667.51
5655.09
4759.62
4795.46
5170.32
5192.08
5583.61
5672.27
2390
1421
-350
-503
1288
1645
1139
1008
4227
8.647461516
8.642505147
8.640311304
8.467923112
8.475424916
8.550689861
8.554889667
8.6275908
8.643344669
2959.79
3180.75
3607.13
3792.61
4244.73
4453.24
4906.87
5044.82
5838.96
846
-457
-477
-432
448
411
807
2808
746
7.992873599
8.064872297
8.190667721
8.240809715
8.353433492
8.4013872
8.498391543
8.526117253
8.672307978
3311.03
3562.31
131
279
8.105014598
8.17816449
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
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
3469.35
3338.16
3125.73
3244.7
2987.65
3181.23
2991.36
2949.32
3228.82
3377.28
276
-73
87
-272
43
-33
-131
-9
-184
53
8.151722536
8.113175036
8.047423135
8.084778175
8.002242404
8.065023193
8.003483412
7.989329914
8.079872024
8.124825931
4326.72
4247.02
3604.38
3519.16
3631.91
3456.78
3329.28
3244.95
2811.6
2989.35
3287.56
3262
444
668
354
229
265
138
125
116
-179
35
70
28
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
129
477
342
349
155
-160
-194
75
235
-271
78
114
8.557430695
8.602816606
8.517449159
8.446244838
8.39696943
8.465640916
8.361675578
8.406777699
8.316393154
8.21906205
8.293547014
8.287055236
3224.36
3622.22
3892.75
4006.81
3686.39
3250.69
3211.31
62
44
256
457
343
42
233
8.07848976
8.194842377
8.266871128
8.295750692
8.212402938
8.08662256
8.074434233
Aug
Sep
Oct
Nov
Dec
Apr'9
7
May
Jun
Jul
Aug
Sep
Oct
Nov
2933.85
3102.29
2812.49
2810.66
3055.41
33
-154
-100
-23
356
7.984070833
8.039895827
7.941825491
7.94117461
8.024669069
3841.11
3755.1
4256.09
4305.76
3876.08
3902.03
3803.24
3560.29
-31
-115
-269
-26
-48
-43
-140
-50
8.253516666
8.230870195
8.356106177
8.36770894
8.262579613
8.26925221
8.243608614
8.177597281
Regression Model 1: Sensex = a+bFII (for the year 1997 to

2008)
25000
20000
15000
10000
5000
0
-5000
-10000
-15000
SUMMARY
OUTPUT
Regression Statistics
0.2108430
Multiple R
3
0.0444547
R Square
83
sensex
FII
Adjusted R Square
Standard Error
Observations
0.0360728
08
4665.9217
51
116
ANOVA
df
Regression
Residual
114
Total
115
SS
MS
115464108. 115464108
6
.6
248187414 21770825.
0
79
259733824
8
F
5.3036
16
Significa
nce F
0.0230950
22
Standard
Error
440.447973
3
0.16772046
9
Pvalue
4.45E30
0.0230
95
Lower
95%
6002.9266
44
0.0540002
8
X Variable 1
Coefficien
ts
6875.4506
58
0.3862532
28
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
Intercept
t Stat
15.610131
22
2.3029581
84
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
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
sensex
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
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
FII
log sensex
-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
-3906
-1157
-595
1212
1064
1703
2159
-507
-299
-470
1313
1746
1204
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
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
sep
oct
nov
dec
jan'04
feb
apr
may
jun
jul
aug
sep
oct
apr'03
may
jun
jul
aug
sep
oct
nov
dec
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
1035
-469
-17
2122
2390
1421
-350
-503
1288
1645
1139
1008
4227
846
-457
-477
-432
448
411
807
2808
746
MEAN
10396.1423
7
853.3050847
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
Regression Model 2: Sensex = a+bFII (for the year 2003 to

2008)
25000
20000
15000
10000
sensex
FII
5000
YEAR
0
-5000
-10000
-15000
SUMMARY OUTPUT
Regression
Statistics
0.15249
Multiple R
6
0.02325
R Square
5
Adjusted R
0.00641
Square
4
Standard
4735.53
Error
4
Observation
s
60
ANOVA
df
Regression
Residual
58
Total
59
Coeffici
ents
SS
3096699
8.94
1300666
431
1331633
430
Standar
d Error
Significanc
eF
MS
3096699
8.94
2242528
3.29
F
1.380896
666
0.244750177
t Stat
P-value
Lower 95%
Intercept
X Variable 1
10052.9
4
0.20252
6
CV OF SENSEX
CV OF FII
628.2256
55
0.172345
719
16.00211
157
1.175115
597
6.12076E
-23
0.244750
177
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
0
feb,08 mar apr may jun
-5000
-10000
-15000
FII
jul
aug sep
oct
nov dec
SUMMARY
OUTPUT
0.267875
Multiple R
613
0.071757
R Square
344
Adjusted R
0.031380
Square
73
Standard
3113.046
Error
757
Observations
11
ANOVA
df
Regression
Residual
Total
Intercept
SS
1
6742463.899
9
10
87219541.02
93962004.92
Coefficie
nts
13728.62
199
0.112328
728
X Variable 1
MEAN OF
sensex
13699.67182
MEAN OF FII
-257.7272727
Standard
Error
MS
6742463.89
9
9691060.11
4
F
0.695740592
939.2603999
t Stat
14.6164173
4
P-value
1.41244E-07
0.134668856
0.83411065
9
0.425802804
Significan
ce F
0.4258028
04
Lower
95%
11603.867
36
0.1923133
88
COFFICIENT OF VARIATION OF
SD of Sensex SENSEX
2922.670089
SD of FII
6969.829137
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
10000
5000
0
jan'07
feb
apr
may
-5000
SUMMARY OUTPUT
0.375969
Multiple R
954
0.141353
R Square
406
Adjusted R
0.045948
Square
229
Standard Error
2546.353
jun
jul
aug
sep
oct
nov
dec
022
11
Observations
ANOVA
df
10
SS
9606641.
041
58355223
.4
67961864
.45
Coefficie
nts
15504.54
006
0.294602
005
Standard
Error
937.1439
469
0.242029
626
Regression
Residual
Total
Intercept
X Variable 1
MEAN OF
SENSEX
16158.66364
MS
9606641.0
41
6483913.7
12
F
1.4816114
88
t Stat
16.544459
48
1.2172146
43
P-value
4.80294E08
0.2544751
7
Significance
F
0.25447517
Lower 95%
13384.57317
-0.252907046
SD OF
SENSEX
CV OF SENSEX
2485.628957
15.38263939
MEAN OF FII
SD OF FII
2220.363636
3172.150182
CV OF FII
142.8662463

SENSEX .
Correlation: The R-square value is 0.14135340. So there is a negligible
YEAR 2006
15000
10000
5000
0
jan'06
feb
apr
may
jun
jul
aug
sep
oct
nov
dec
-5000
SUMMARY OUTPUT
0.359580
Multiple R
108
0.129297
R Square
854
Adjusted R
0.032553
Square
171
1364.872
Standard Error
053
Observations
11
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
MEAN OF
SENSEX
10
SS
2489706.
162
16765881
.48
19255587
.65
Coefficie Standard
nts
Error
11551.15
426.6042
861
334
0.254113
983
0.219809
5
SD OF
SENSEX
MS
2489706.1
62
1862875.7
2
F
1.3364853
78
t Stat
27.076990
11
P-value
6.1914E-10
1.1560646
08
0.2774202
96
CV OF SENSEX
Significa
nce F
0.2774202
96
Lower
95%
10586.112
79
0.2431296
5
11681.12636
1323.067635
MEAN OF FII
511.4545455
SD OF FII
1872.186634
11.32654159
CV OF FII
366.0514216

SENSEX .
YEAR 2005
10000
8000
6000
Sensex
4000
FII
2000
0
apr'05
-2000
may
jun
jul
aug
sep
oct
nov
dec
SUMMARY OUTPUT
0.494453
Multiple R
85
0.244484
R Square
61
Adjusted R
0.136553
Square
84
Standard
958.6809
Error
462
Observations
9
ANOVA
df
Regression
Residual
Total
SS
2081874.
002
6433484.
096
8515358.
098
Coefficie
nts
7454.780
317
Standar
d Error
394.1256
38
t Stat
18.914730
73
P-value
2.8707E07
0.506855
985
0.336768
493
1.5050576
14
0.176025
491
Intercept
X Variable 1
MEAN OF
SENSEX
7801.976667
MS
2081874.0
02
919069.15
66
F
2.265198
421
SD OF
SENSEX
CV OF SENSEX
972.7028836
12.46739032
MEAN OF FII
SD OF FII
CV OF FII
685
948.9020556
138.5258475
Significan
ce F
0.17602549
1
Lower
95%
6522.82127
6
0.28947496
1

SENSEX .
YEAR 2004
7000
6000
5000
4000
Sensex
3000
FII
2000
1000
0
jan'04
-1000
feb
apr
SUMMARY
OUTPUT
Multiple R
0.418527
R Square
0.175165
Adjusted R
0.057331
may
jun
jul
aug
sep
oct
Square
Standard
Error
Observation
s
373.66
9
ANOVA
df
SS
Regression
207553.5
Residual
Total
7
8
977352.6
1184906
Coeffici
ents
Standard
Error
MS
207553.482
2
139621.797
5
F
1.4865406
83
P-value
1.43502E08
0.2622393
04
Intercept
5199.112
178.2767
t Stat
29.1631552
6
X Variable 1
0.114115
0.093596
1.21923774
7
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
Significanc
eF
0.26223930
4
Lower 95%
4777.55408
9
0.10720330
4

SENSEX .
YEAR 2003
7000
6000
5000
4000
3000
2000
1000
0
apr'03
-1000
may
jun
jul
aug
sep
oct
nov
dec
SUMMARY OUTPUT
0.527195
Multiple R
38
0.277934
R Square
969
Adjusted R
0.174782
Square
821
853.0358
Standard Error
425
Observations
9
ANOVA
df
Regression
Residual
Total
SS
1960647.
307
5093691.
04
7054338.
347
Coefficie
nts
3972.327
49
0.484670
764
Standard
Error
323.4629
397
0.295266
628
Intercept
X Variable 1
MS
1960647.3
07
727670.14
85
F
2.6944176
72
t Stat
12.280626
32
1.6414681
45
P-value
5.4438E-06
0.1447046
43
Significan
ce F
0.1447046
43
Lower
95%
3207.4591
79
0.2135238
65
MEAN OF
SENSEX
4225.433333
MEAN OF FII
522.2222222
SD OF SENSEX
885.3334806
SD OF FII
963.0119161
CV OF SENSEX
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
5000
0
-5000
-10000
-15000
SUMMARY
OUTPUT
sensex
FII
0.346563
Multiple R
77
0.120106
R Square
44
0.076111
Adjusted R Square
77
2930.341
Standard Error
03
Observations
22
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
SS
1
23442423.03
20
21
171737970.5
195180393.6
Coeffici
ents
14746.80
69
0.185832
55
Standard
Error
634.4249095
0.112470517
MS
23442423
.03
8586898.
526
F
2.730022
133
Significance F
t Stat
23.24436
927
1.652277
862
P-value
6.01522E16
0.114091
671
Lower 95%
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
0.114091671
13423.4197
-0.048776841

SENSEX.

YEAR 2005-06
Regression Model 10: Sensex = a+bFII (for the year 2005
06)
15000
10000
5000
-5000
SUMMARY OUTPUT
0.152817
Multiple R
21
0.023353
R Square
1
Adjusted R Square
-
Standard Error
Observations
0.030905
1
2355.484
57
20
ANOVA
df
SS
Regression
Residual
Total
MS
2388031.
161
5548307.
573
F
0.430407
134
564.4583832
t Stat
17.36593
564
P-value
1.08609E12
0.344283993
0.656054
216
0.520088
132
2388031.161
18
19
99869536.32
102257567.5
Intercept
Coeffici
ents
9802.347
95
X Variable 1
0.225868
96
Standard
Error
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
Significa
nce F
0.5200881
32
Lower
95%
8616.4648
96
0.4974448
62

SENSEX.
YEAR 2003-04
7000
6000
5000
4000
3000
2000
1000
0
-1000
sensex
FII
SUMMARY
OUTPUT
0.517302
Multiple R
4
0.267601
R Square
78
0.221826
Adjusted R Square
89
799.8746
Standard Error
08
Observations
18
ANOVA
df
Regression
Residual
Total
SS
1
3740292.027
16
17
10236790.22
13977082.25
Coeffici
ents
Standard
Error
MS
3740292.0
27
639799.38
88
t Stat
F
5.846038
762
P-value
Significance F
0.027908504
Lower 95%
Intercept
X Variable 1
MEAN OF
SENSEX
4790.029444
4442.212
53
0.369036
51
237.1459142
0.152629504
18.731980
04
2.4178583
01
2.62052E12
0.027908
504
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
3939.485654
0.045476421
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 (2003-2008)
The Co-efficient of Variation (CV) measures the volatility. The CV of FII
measures the volatility of the FII whereas the CV of the SENSEX measures the
volatility of the SENSEX.
Regression and CV of SENSEX and FII
YEAR
CV OF
SENSEX
CV OF FII
2008
2007
2006
2005
2004
2003
21.33
15.38
11.32
12.46
6.77
20.95
-2704.34
142.86
366.05
138.52
97.65
184.4
SUMMARY OUTPUT
0.56256417
Multiple R
1
0.31647844
R Square
6
Adjusted R
0.14559805
Square
8
5.27454368
Standard Error
2
Observations
6
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
Coefficient
s
13.8994305
3
0.00271199
8
SS
51.525439
12
111.28324
42
162.80868
33
Standard
Error
2.2325545
94
0.0019927
99
MS
51.52543
912
27.82081
105
F
1.8520466
22
t Stat
6.225796
481
1.360899
196
P-value
0.0033895
07
0.2451734
61

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.
The traded value for the last six months of all Nifty stocks is approximately
44.89% of the traded value of all stocks on the NSE
Nifty stocks represent about 58.64% of the total market capitalization as on
March 31, 2008.
Impact cost of the S&P CNX Nifty for a portfolio size of Rs.2 crore is 0.15%
S&P CNX Nifty is professionally maintained and is ideal for derivatives
trading
The NIFTY moves up and down based on movement of 50 companies
share prices listed in NSE sensitivity index.The reasons of the rise and fall of the
Sensex may be due to macro-level or micro-level factors such as Government
policies, Inflation rate, FDI & FII etc.In our research ,we have only considered the
FII factor to find out that is there any impact of the FII on the movement of
NIFTY.So, we have taken the help of the Regression and Correlation tools to
measure it.

NIFTYAND FII
OVERALL (2002-2008):
Data of NIFTY and FII from 2002-08
year
FII
NIFTY
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
-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
may
-3906
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
3001.1
3074.7
3508.1
LOG OF
NIFTY
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
8.006734167
8.030962615
8.162829859
3185.3 8.066301755
jun
-1157
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
Dec
-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
53
3128.2 8.048213038
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
1093.5
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
6.99713884
Regression Model 12: NIFTY = a+bFII (for the year 2002 to

2008)
25000
20000
15000
10000
FII
5000
NIFTY
0
-5000
-10000
-15000
SUMMARY
OUTPUT
0.1660705
Multiple R
85
0.0275794
R Square
39
0.0121441
Adjusted R Square
92
1415.3475
Standard Error
1
Observations
65
ANOVA
df
Regression
Residual
63
Total
64
SS
3579299.31
4
126202140.
2
129781439.
5
MS
3579299.3
14
2003208.5
75
F
1.7867
83
Significa
nce F
0.1861259
3
Intercept
X Variable 1
Coefficien
ts
2851.2140
89
Standard
Error
179.953765
7
t Stat
15.844147
95
Pvalue
1.18E23
0.0686827
65
0.05138209
9
1.3367060
8
0.1861
26
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
Lower
95%
2491.6051
87
0.0339961
67

NIFTY.
between NIFTY and FII.

NIFTYAND FII
YEAR 2008
Regression Model 13: NIFTY = a+bFII (for the year 2008)
25000
20000
15000
10000
FII
5000
0
feb,08 mar
-5000
NIFTY
apr may jun
jul
aug
sep
oct
nov
dec
-10000
-15000
SUMMARY
OUTPUT
0.271835
Multiple R
529
0.073894
R Square
555
Adjusted R
0.029006
Square
05
Standard
914.6795
Error
59
Observations
11
ANOVA
df
Regression
SS
MS
600803.5
016
836638.6
957
F
0.718115
842
275.9747
t Stat
14.93942
053
P-value
1.16845E07
0.039569
0.847417
159
0.418726
971
600803.5
9
10
7529748
8130552
Standar
d Error
Intercept
Coefficie
nts
4122.902
787
X Variable 1
0.033531
096
Residual
Total
Significa
nce F
0.418726
971
Lower
95%
3498.604
54
0.055979
26
MEAN OF NIFTY
SD OF NIFTY
4114.260909
859.73313
85
MEAN OF IIF
SD OF IIF
-257.7272727
6969.8291
37
CV OF NIFTY
20.89641755
CV OF FII
-2704.342875

NIFTY.
YEAR 2007
8000
6000
4000
2000
0
jan'07
-2000
feb
apr
may
jun
jul
aug
sep
oct
nov
dec
-4000
SUMMARY OUTPUT
0.375969
Multiple R
954
0.141353
R Square
406
Adjusted R
0.045948
Square
229
Standard
3249.646
Error
001
Observation
s
11
ANOVA
df
Regression
Residual
Total
10
SS
15646112
.35
95041792
.2
11068790
4.5
Standar
d Error
Intercept
Coefficie
nts
5532.747
7
X Variable 1
0.479811
419
MS
15646112
.35
10560199
.13
F
1.481611
488
Signific
ance F
0.254475
17
t Stat
P-value
Lower
95%
6444.470
823
0.858526
301
0.412882
115
0.394188
011
1.217214
643
0.254475
17
20111.15
35
0.411903
81
Nifty
16158.663
64
2485.6289
57
15.382639
39
MEAN
SD
CV
FII
2220.36363
6
3172.15018
2
142.866246
3

NIFTY.
YEAR 2006
5000
4000
3000
2000
1000
0
jan'06
-1000
feb
apr
may
jun
-2000
-3000
-4000
-5000
SUMMARY OUTPUT
Multiple R
0.38849306
jul
aug
sep
oct
nov
R Square
Adjusted R Square
Standard Error
Observations
6
0.15092686
3
0.04479272
729.564573
4
10
ANOVA
df
Regression
Residual
Total
SS
756900.69
58
4258115.7
34
5015016.4
3
Coefficient
s
4412.50067
1
Standard
Error
276.70737
39
t Stat
15.9464513
3
P-value
2.39587E07
0.08270579
7
0.0693553
93
1.19249266
1
0.267235
855
Intercept
X Variable 1
MEAN
4594.685
SD
708.1678071
CV
15.41276077
MS
756900.695
8
532264.466
8
F
1.422038
748
Significa
nce F
0.267235
855
Lower
95%
3774.412
323
0.077228
025
2202.8
3326.4691
73
151.01094
85
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
1000
500
0
apr'05
-500
may
jun
jul
aug
sep
oct
nov
dec
-1000
SUMMARY OUTPUT
0.50926542
Multiple R
8
0.25935127
R Square
6
0.15354431
Adjusted R Square
5
267.227321
Standard Error
9
Observations
9
ANOVA
df
Regression
SS
175039.42
11
MS
175039.421
1
F
2.451174
048
Significa
nce F
0.161417
704
Residual
Total
499873.09
11
674912.51
22
71410.4415
8
Intercept
Coefficients
2273.63189
4
Standard
Error
109.86046
94
t Stat
20.6956324
4
P-value
1.54425E07
X Variable 1
0.14696884
9
0.0938724
64
1.56562257
5
0.161417
704
Lower
95%
2013.853
164
0.075004
256
MEAN
2374.305556
SD
CV
273.8435304
948.9020556
11.53362632
138.5258475
685.00

YEAR 2004
5000
4000
3000
2000
1000
0
jan'04
-1000
feb
apr
may
jun
jul
aug
sep
oct
SUMMARY OUTPUT
0.43652641
Multiple R
9
0.19055531
R Square
4
0.07492035
Adjusted R Square
9
122.559778
Standard Error
1
Observations
9
ANOVA
df
Regression
Residual
Total
SS
24753.001
08
105146.29
45
129899.29
56
Coefficient
s
1632.42231
4
Standard
Error
58.474427
41
t Stat
27.9168584
7
P-value
1.94369E08
0.03940882
0.0306992
29
1.28370716
3
0.240101
442
Intercept
X Variable 1
MEAN
1686.127778
1362.7777
MS
24753.0010
8
15020.8992
1
F
1.647904
079
Significa
nce F
0.240101
442
Lower
95%
1494.152
265
0.033183
321
SD
120.1384829
CV
7.12511142
78
1330.7584
95
97.650439
93

YEAR 2003
3000
2500
2000
1500
1000
500
0
apr'03
-500
may
jun
jul
aug
sep
oct
nov
dec
-1000
SUMMARY OUTPUT
0.52989501
Multiple R
4
0.28078872
R Square
5
0.17804425
Adjusted R Square
8
283.349513
Standard Error
5
Observations
9
ANOVA
df
Regression
Residual
Total
SS
219414.92
28
562008.62
77
781423.55
06
Coefficient
s
1260.15106
1
Standard
Error
107.44339
46
t Stat
11.7285112
5
P-value
7.41271E06
0.16213626
5
0.0980775
38
1.65314371
1
0.142280
094
Intercept
X Variable 1
MS
219414.922
8
80286.9468
2
F
2.732884
13
Significa
nce F
0.142280
094
Lower
95%
1006.087
805
0.069780
26
2003
NIFTY
MEAN
1344.822222
SD
294.6605487
CV
21.91074358
FII
522.22222
22
963.01191
61
184.40653
71

NIFTY.
YEAR 2002
1200
1000
800
600
400
200
0
Aug,02
-200
Sep
-400
SUMARRY OUTPUT
Multiple R
0.215054
Oct
Nov
Dec
R Square
Adjusted R
Square
Standard Error
Observations
448
0.046248
416
0.271668
779
66.97676
673
5
ANOVA
df
Regression
Residual
Total
3
4
Intercept
X Variable 1
SS
652.576153
3
13457.6618
5
14110.238
MS
652.57615
33
4485.8872
82
F
0.14547
31
Significa
nce F
0.728309
653
Coefficie
Standard
PLower
nts
Error
t Stat
value
95%
1021.798 36.7605633 27.796044 0.00010 904.8097
242
9
12
22
226
0.133688 0.35051096 0.3814094 0.72830 0.981794
186
6
26
97
14
2002 NIFTY
FII
MEAN
1013.67
-60.8
53.1229479
85.455017
SD
6
41
5.24065504
140.55101
CV
2
55

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
0.410351
Multiple R
992
0.168388
R Square
757
Adjusted R
0.002066
Square
509
6.369548
Standard Error
093
Observations
7
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
ANOVA
df
SS
Regression
41.07522832
Residual
Total
5
6
202.8557145
243.9309429
Intercept
X Variable 1
Coefficie
nts
13.17862
49
0.002459
41
Standard Error
2.519777927
0.002444272
MS
41.0752
28
40.5711
43
F
1.012424
728
t Stat
5.23007
4
1.00619
3
P-value
0.003381
526
Significa
nce F
0.360504
852
0.360504
852
Lower
95%
6.701329
534
0.008742
612

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

Impact of Fii Flow On The Bse Sensex and Nifty

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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

Regression Analysis: The significance level is 0.023095022 which is less

Year 2003-2008 (Overall regression analysis and

Data of SENSEX and FII from 2003-2008

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

Regression Analysis: The significance level is 0.244750177 which is

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

COFFICIENT OF VARIATION OF FII

Regression Analysis: The significance level is 0.425802804 which is higher

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

Correlation: The R-square value is 0.120106444. So there is not such significant

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 BETWEEN

Regression and CV of SENSEX and FII

Regression Analysis: The significance level is 0.245173461 which is higher

Correlation: The R-square value is 0.316478446. So there is not strong correlation

NIFTY AND FII

REGRESSION & CORRELATION ANALYSIS BETWEEN

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

Regression Analysis: The significance level is 0.18612573 which is higher

REGRESSION & CORRELATION ANALYSIS BETWEEN

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

Correlation: The R-square value is 0.046248416. So there is negligible correlation

REGRESSION & CORRELATION ANALYSIS BETWEEN THE

Regression Analysis: The significance level is 0.360504852 which is higher

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