Abstract This study examines the market timing skill of foreign portfolio investors (popularly called foreign institutional investors or FIIs) in India as a group. A simulated portfolio is constructed that invests in market index replicating the patterns of aggregate net FII flow. Similar portfolios are constructed replicating the trading behaviour of domestic institutional investors (DIIs) and investors of other categories. The performance of these portfolios is compared with the performance of two benchmark portfolios constructed based on buy-and-hold strategy and systematic investment strategy, respectively. The results based on bootstrapped modified internal rate of return (MIRR) of investment portfolios suggest that the FII portfolio does not outperform the benchmark portfolios. On the contrary, the average returns of benchmark portfolios are significantly higher than the average return of FII portfolio. FII portfolio does not outperform the portfolios representing investment strategies of DIIs and other investors also. Similarly, FII strategy does not outperform two benchmarks for forty-two selected securities at individual level. Therefore, our results suggest that the FIIs do not have a superior market timing skill.

中文翻译：

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印度外国证券投资人的市场时机技巧

摘要本研究考察了外国投资组合投资者（通常称为外国机构投资者或FII）在印度的整体市场时机技巧。构建了一个模拟投资组合，该投资组合用于复制总FII净流量模式的市场指数。构建了类似的投资组合，复制了国内机构投资者（DII）和其他类别投资者的交易行为。将这些投资组合的绩效与分别基于买入持有策略和系统投资策略构建的两个基准投资组合的绩效进行比较。基于自举自足的投资组合的内部收益率（MIRR）得出的结果表明，FII投资组合的表现不超过基准投资组合。反之，基准投资组合的平均收益显着高于FII投资组合的平均收益。FII投资组合的表现不超过代表DII和其他投资者的投资策略的投资组合。同样，对于个人选择的42种选定证券，FII策略也不会超过两个基准。因此，我们的结果表明，FII没有出色的市场时机技巧。