Title: Investment pattern of domestic institutional investors

Authors: Purwa Srivastava; Sakshi Varshney

Addresses: Humanities and Social Science Department, Jaypee Institute of Information Technology, Noida-201304, Uttar Pradesh, India ' Humanities and Social Science Department, Jaypee Institute of Information Technology, Noida-201304, Uttar Pradesh, India

Abstract: This research paper makes the first-ever study on the relationship between domestic institutional investors; DII, i.e., mutual fund; MF, insurance companies; INSU, development financial institution; DFI and banks with Indian stock market returns, at a disaggregated level. This analysis is based on ten-year daily data collected from Securities and Exchange Board of India, SEBI. During the study, Granger causality block exogeneity test verifies that stock returns predict MF, INSU, and DFI's investment behaviour. Additionally, correlation analysis shows a positive contemporaneous relationship of stock returns with buying and selling done by all the four DIIs. Quantile regression technique reveals that INSU and, MF are contrarian traders, whereas banks are momentum traders. With the analysis, we learnt that INSU is the most active trader at every quantile. MF is more active at lower quantiles. Banks are active traders at upper and lower quantiles, and DFI is active only at extreme quantiles.

Keywords: quantile regression; momentum traders; development financial institution; banks; mutual funds; insurance companies; contrarian trader; domestic institutional investor.

DOI: 10.1504/IJBIR.2023.134140

International Journal of Business Innovation and Research, 2023 Vol.31 No.4, pp.433 - 455

Received: 21 Sep 2020
Accepted: 08 Mar 2021
Published online: 12 Oct 2023 *

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