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

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  • Imlak Shaikh
  • Puja Padhi

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

Suggested Citation

  • Imlak Shaikh & Puja Padhi, 2013. "RBI’s Monetary Policy and Macroeconomic Announcements: Impact on S&P CNX Nifty VIX," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 19(4), pages 445-460, March.
    • Handle: RePEc:spr:trstrv:v:19:y:2013:i:4:p:445-460
    DOI: 10.1007/s11300-013-0255-9
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    More about this item

    Keywords

    Implied volatility; VIX; Uncertainty; Macroeconomic news; MCIR; Information content; E52; G10; G11; G14;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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