Future Business Journal

Table 4 Analysis showing impact of demonetization on FIIs, DIIs and stock market returns.

From: A cause and effect relationship between FIIs, DIIs and stock market returns in India: pre- and post-demonetization analysis

Variables	Pre-demonetization				Post-demonetization
Variables	Coefficient	SE	t statistic	p value	Coefficient	SE	t statistic	p value
LFIIGP	− 6.22	28.54	− 0.22	0.83	14.19	28.53	0.5	0.62
LFIIGS	− 7.17	25.03	− 0.29	0.77	19.49	25.02	0.78	0.44
LDIIGP	0.94	23.17	0.04	0.97	14.58	23.16	0.63	0.53
LDIIGS	0.06	26.92	0	0.99	4.11	26.92	0.15	0.88
LNIR	− 0.23	0.38	− 0.59	0.55	− 1.08	0.38	− 2.83	0.00***
LNAIR	− 0.09	0.53	− 0.18	0.86	− 2.51	0.53	− 4.77	0.00***
LNFSIR	− 0.17	0.48	− 0.36	0.72	− 0.94	0.48	− 1.95	0.05*
LNFMCGIR	0.45	0.46	0.97	0.33	− 1.75	0.46	− 3.82	0.00***
LNITIR	0.02	0.46	0.05	0.96	− 0.77	0.46	− 1.67	0.09*
LNMEDIR	− 0.43	0.61	− 0.71	0.48	− 1.22	0.61	− 2	0.05*
LNMETIR	− 0.37	0.74	− 0.5	0.62	− 0.76	0.74	− 1.04	0.3
LNPHIR	− 1.52	0.55	− 2.77	0.01**	− 0.16	0.55	− 0.28	0.78
LNPSUBIR	− 0.66	1.01	− 0.65	0.51	1.89	1	1.88	0.06*
LNPVTBIR	0.09	0.5	0.17	0.86	− 0.96	0.5	− 1.92	0.06*
LNRIR	− 1.15	0.88	− 1.31	0.19	− 4.63	0.86	− 5.39	0.00***

*10% level of significance, **5% level of significance, ***1% level of significance
SE standard error, LFIIGP FII Gross Purchase, LFIIGS FII Gross Sales, LDIIGP DII Gross Purchase, LDIIGS DII Gross Sales, LNIR Nifty 50 Index Returns, LNAIR Nifty Auto Index Returns, LNFSIR Nifty Financial Services Index Returns, LNFMCGIR Nifty FMCG Index Returns, LNITIR Nifty IT Index Returns, LNMEDIR Nifty Media Index Returns, LNMETIR Nifty Metal Index Returns, LNPHIR Nifty Pharma Index Returns, LNPSUBIR Nifty PSU Bank Index Returns, LNPVTBIR Nifty Private Bank Index Returns, LNRIR Nifty Realty Index Returns

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