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

Imlak Shaikh and Puja Padhi

Margin: The Journal of Applied Economic Research, 2013, vol. 7, issue 4, 417-442

Abstract: 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). JEL Classification: E52, E58, G12, G14

Keywords: Macroeconomic Announcements; Implied Volatility Index; Information Content; India VIX; RBI Policy Statement; MCIR (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:sae:mareco:v:7:y:2013:i:4:p:417-442

DOI: 10.1177/0973801013500168

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