Macroeconomic Announcements and the Implied Volatility Index: Evidence from India VIX

被引:2
|
作者
Shaikh, Imlak [1 ]
Padhi, Puja [1 ]
机构
[1] Indian Inst Technol, Dept Humanities & Social Sci, Bombay, Maharashtra, India
来源
关键词
Macroeconomic Announcements; Implied Volatility Index; Information Content; India VIX; RBI Policy Statement; MCIR;
D O I
10.1177/0973801013500168
中图分类号
F [经济];
学科分类号
02 ;
摘要
This study examines the impact of scheduled macroeconomic announcements on the option's implied volatility index in the emerging market. The macroeconomic indicators considered are RBI monetary policy statements, the consumer price index, wholesale price index, index of industrial production, the employment rate and gross domestic product (GDP growth rate). The study reveals that during non-announcement periods the implied volatility index (India VIX) increases significantly. Once results are announced, uncertainty is resolved and the India VIX returns to normal levels. It confirms that the India VIX declines significantly following scheduled GDP news, but rises significantly on the announcement of monthly inflation rates (WPI). Indeed, the joint effect of the announcements relating to monetary policy, the industrial output, employment rate and GDP is found to be statistically significant (and negative).
引用
收藏
页码:417 / 442
页数:26
相关论文
共 50 条
  • [1] The forecasting performance of implied volatility index: evidence from India VIX
    Shaikh I.
    Padhi P.
    [J]. Economic Change and Restructuring, 2014, 47 (4) : 251 - 274
  • [2] Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
    Onan, Mustafa
    Salih, Aslihan
    Yasar, Burze
    [J]. FINANCE RESEARCH LETTERS, 2014, 11 (04) : 454 - 462
  • [3] Macroeconomic information and implied volatility: evidence from Australian index options
    Tanha, Hassan
    Dempsey, Michael
    Hallahan, Terrence
    [J]. REVIEW OF BEHAVIORAL FINANCE, 2014, 6 (01) : 46 - 62
  • [4] A note on the impact of scheduled macroeconomic news announcements on implied volatility
    Vahamaa, Sami
    [J]. APPLIED ECONOMICS LETTERS, 2009, 16 (18) : 1783 - 1789
  • [5] Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility
    Clements, Adam
    Liao, Yin
    Tang, Yusui
    [J]. JOURNAL OF FORECASTING, 2022, 41 (01) : 86 - 99
  • [6] DETERMINANTS OF IMPLIED VOLATILITY FUNCTION ON THE NIFTY INDEX OPTIONS MARKET: EVIDENCE FROM INDIA
    Sehgal, Sanjay
    Vijayakumar, N.
    [J]. ASIAN ACADEMY OF MANAGEMENT JOURNAL OF ACCOUNTING AND FINANCE, 2008, 4 (01): : 45 - 69
  • [7] The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases
    Fernandez-Perez, Adrian
    Lopez, Raquel
    [J]. JOURNAL OF FUTURES MARKETS, 2023, 43 (11) : 1499 - 1530
  • [8] Volatility spillovers and macroeconomic announcements: evidence from crude oil markets
    Belgacem, Aymen
    Creti, Anna
    Guesmi, Khaled
    Lahiani, Amine
    [J]. APPLIED ECONOMICS, 2015, 47 (28) : 2974 - 2984
  • [9] The Determinants of India's Implied Volatility Index
    Pranesh, Kiran K.
    Balasubramanian, P.
    Mohan, Deepti
    [J]. 2017 1ST IEEE INTERNATIONAL CONFERENCE ON DATA MANAGEMENT, ANALYTICS AND INNOVATION (ICDMAI), 2017, : 312 - 315
  • [10] Volatility information implied in the term structure of VIX
    Chang, Kai-Jiun
    Hung, Mao-Wei
    Wang, Yaw-Huei
    Yen, Kuang-Chieh
    [J]. JOURNAL OF FUTURES MARKETS, 2019, 39 (01) : 56 - 71