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

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  • Banerjee, Ameet Kumar
  • Pradhan, H.K.

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.

Suggested Citation

  • Banerjee, Ameet Kumar & Pradhan, H.K., 2022. "Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond," Finance Research Letters, Elsevier, vol. 45(C).
    • Handle: RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002166
    DOI: 10.1016/j.frl.2021.102135
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    Cited by:

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