RBI’s Monetary Policy and Macroeconomic Announcements: Impact on S&P CNX Nifty VIX

Imlak Shaikh and Puja Padhi ()

Transition Studies Review, 2013, vol. 19, issue 4, 445-460

Abstract: This study investigates the information content of RBI’s monetary policy and macroeconomic announcements and its impact on the implied volatility index. The empirical findings suggest that implied volatility (VIX) increases prior to the scheduled macroeconomic announcements. This study takes into account the RBI’s (Reserve Bank of India) monetary policy in the form of monetary credit information review meeting days, consumer price index, wholesale/producers price index, index of industrial production, employment report, gross domestic product. The empirical result explains that investors regard the scheduled macroeconomic announcements in the valuation of their financial assets. More specifically study shows that investors jointly consider the MCIR and GDP reports for their financial planning. This study contributes in two ways; it is useful in the forecasting of short-term market volatility and pricing of Options. Copyright CEEUN 2013

Keywords: Implied volatility; VIX; Uncertainty; Macroeconomic news; MCIR; Information content; E52; G10; G11; G14 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s11300-013-0255-9

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