The Information Content of Macroeconomic News

This paper investigates how India VIX responds to the scheduled macroeconomic announcements. The study takes into account various macroeconomic indicators like national product, employment rate, industrial production, inflation rates, fed's monetary policy statement, corporate confidence, balance of payment and international reserve. Results uncovers that VIX is significantly attributed toward the macroeconomic indicators. We find that India VIX is more responsive to the GDP and employment rate. We also find that VIX rises significantly prior to the scheduled announcement and remains more normal on the new releases. The fed's monetary policy also plays great role in determining the portfolio selection. The empirical finding reveals that market participants consider India VIX as the market expectation about the future volatility. In addition, the joint effect of more than one announcement on VIX found to be significant.