The Global Financial Crisis and Investor Behavior in Indian Equity Market

The purpose of this research paper is to investigate the performance and relationship of different Investor group particularly Foreign Institutional Investors, Domestic Institutional Investor and Individual Investor using daily net flow in Indian equity market. We are examining the investor behavior before, during&after the financial crisis (2008). Augmented Dickey Fuller tests have employed and found that all the net inflows are stationary at their level and market return stationary at first difference. The causal relationship between all the investor group have checked through Granger Causality test and VAR in different time phase i.e. precrisis, during the crisis and after the crisis periods. The result reveals that the behavior of all the groups in all the phase of the crisis is not varying except domestic investor group performance. The Engle-Granger Co-integration has also proved that there is no cointegration between all different investor groups.