TITLE:
Macroeconomic Information and the Implied Volatility: Evidence from India VIX
AUTHORS:
Palamalai Srinivasan
KEYWORDS:
Macroeconomic Announcements, Implied Volatility Index, India VIX, Leverage Effect
JOURNAL NAME:
Theoretical Economics Letters,
Vol.7 No.3,
April
17,
2017
ABSTRACT: The
present study attempts to examine the scheduled macroeconomic announcement
effects on the India VIX using OLS regression model and the EGARCH model. The
empirical results show that the information content of macroeconomic news on
report day and day after does not have significant influences on India VIX,
except MCIR. Besides, the findings reveal no significant response of India VIX
during one day before the scheduled news announcements. This is due to the fact
that India VIX market is more uncertain before the declaration of the results
of MCIR convention of RBI, Export, Import, Fiscal Deficit, GDP, IIP and
Inflation (CPI/WPI). The study shows that investors do not need to consider the
scheduled macroeconomic announcement except MCIR meeting day and one day after
in the valuation of options pricing or financial planning.