QE, Foreigner Behavior and Market Fragility in the Indian NSE Electronic Equity Order Book Markets

Project Start:02/2016
Status:Completed
Researchers:Viral Acharya, Loriana Pelizzon
Category: Financial Markets, Macro Finance
Funded by:Volkswagen Stiftung

In this project, Loriana Pelizzon and Viral Acharya use an extraordinary database provided by the Indian National Stock Exchange. It includes trade data and full description of the order book data including order, transaction, modification, and cancellation information for spot, futures and option markets along with a unique identifier for each trader from January 2006 till now. With this data, an important issue for emerging markets will be invested, namely the role of foreigner investors and the impact of changes in the announcement of Quantitative Easing programs on the Indian stock market.

Back