We examine the investment behavior of Foreign Portfolio Investors (FPIs), Domestic Institutional Investors (DIIs), and retail investors based on past returns in the Indian context. Using the quarterly shareholding and return data of Indian firms from 2009 to 2018, this study employs m × n momentum strategy proposed by Jegadeesh and Titman (J Finance 48(1):65–91, 1993). A robust correlation-based comprehensive technique is used to find momentum and contrarian behavior. It is observed that FIIs and DIIs show momentum behavior in the short run in the market whereas retail investors show contrarian behavior. Moreover, Retail investors’ contrarian behavior is found to be stronger in past losing firms. This study also reports that FIIs show the momentum behavior in service-oriented industries while contrarian behavior of retail investor is stronger in firms which require local knowledge. These findings may be useful for policymakers, portfolio managers and academicians in emerging markets economies.

中文翻译：

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不同投资者动量和逆势行为的比较研究：来自印度市场的证据

我们根据印度背景下的过去回报，研究了外国投资组合投资者 (FPI)、国内机构投资者 (DII) 和散户投资者的投资行为。本研究使用印度公司 2009 年至 2018 年的季度持股和回报数据，采用了 Jegadeesh 和 Titman (J Finance 48(1):65-91, 1993) 提出的 m×n 动量策略。一种强大的基于相关性的综合技术用于发现动量和逆势行为。据观察，FII 和 DII 在市场短期内表现出动量行为，而散户投资者则表现出逆势行为。此外，在过去的亏损公司中，散户投资者的逆向行为被发现更为强烈。本研究还报告说，FII 在服务型行业中表现出动量行为，而散户投资者在需要本地知识的公司中的逆向行为更强。这些发现可能对新兴市场经济体的政策制定者、投资组合经理和学者有用。