Financial Risk Management
The Impact of Macroeconomic Announcements on Equity Markets: Empirical Evidence from India

Article Details
Pub. Date : Jun, 2019
Product Name : The IUP Journal of Financial Risk Management
Product Type : Article
Product Code : IJFRM21906
Author Name : V Srividya and D Susana
Availability : YES
Subject/Domain : Finance Management
Download Format : PDF Format
No. of Pages : 25



Understanding the behavior of the investors during macroeconomic announcements gives insights into the causes of stock market volatility and the relationship between macroeconomic announcements and stock markets. The Volatility Index (VIX) is the well-known indicator for stock market uncertainty and the present study examines the behavior of the Indian VIX during six Indian and eight US macroeconomic announcements. The findings suggest that the Indian Index of Industrial Production (IIP) and the US Federal Open Market Committee (FOMC) meetings cause impact on the announcement days. However, the US employment situation causes impact on the days before, during and after the announcement.


Global economic activity has witnessed an upswing in the recent times, and in particular the economic performance of emerging markets and developing markets has increased. India, the leading emerging economy next to China, is projected to grow to 7.4% in 2018 an increase by 0.7% from 2017 and to 7.8% in the year 2019 according to the World Economic Outlook 2018 published by the International Monetary Fund (IMF, 2018). India has also retained its position as the most competitive country in South Asia, with a ranking of 40 in the global competitiveness ranking of 137 countries by the World Economic Forum (WEF, 2017) for the year 2017-18 and continues to be among the global top-10 countries in terms of Foreign Direct Investments (FDIs) inflows as per the World Investment Report 2017 of United Nations Conference on Trade and Development (UNCTAD, 2017). With the Indian economy poised to grow multifold, the Indian securities market will have to play an increasingly bigger role to meet the needs of the fast-growing Indian economy.