Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond

Ameet Kumar Banerjee and H.K. Pradhan

Finance Research Letters, 2022, vol. 45, issue C

Abstract: We study the response of macroeconomic news on the intraday prices of the Indian benchmark Government bond. Contrary to the common understanding that the emerging bond markets are informationally less efficient, we found both returns and conditional volatility to respond swiftly to surprises in most macroeconomic news. The impact on volatility is more pronounced than returns, and there is an asymmetric impact implying that the negative news has a stronger market reaction over positive news. Robustness checks are undertaken to ascertain our findings’ significance, including the news’s contemporaneous response, release, frequency, and timing.

Keywords: Macroeconomic news surprise; Intraday data; Indian benchmark bond; Bond volatility (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002166

DOI: 10.1016/j.frl.2021.102135

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