Effect of Macroeconomic News Releases on Bond Yields in India China and Japan

Sreejata Banerjee () and Divya Sinha ()
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Sreejata Banerjee: Visiting Professor, Madras School of Economics
Divya Sinha: Madras School of Economics

Working Papers from Madras School of Economics,Chennai,India

Abstract: This paper studies the effect of domestic macroeconomic news releases on the change in the bond yields of India, China and Japan. We apply event study method to observe whether the large set of new information or surprise news is reflected immediately in bond yields. The daily yields of Government Bond with different maturity are regressed over the surprise factors. The bond yields are observed to react differently to the surprise factor of different indicators. Indian bond yield respond much more actively than bonds in China and Japan. Bonds of all the countries respond to the change in US government bonds, while Japan’s response is more than China , India’s response is the weakest. Testing for the existence of the weak form of market efficiency reveals that it holds for longer term bond markets in India and in Japan, but for China it holds for both short and long term bond market.

Keywords: Bond yield; Macroeconomic news; Event study; Market efficiency (search for similar items in EconPapers)
JEL-codes: E43 G12 G14 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2015-10
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