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Macroeconomic news surprises, volume and volatility relationship in index futures market

Author

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  • Ameet Kumar Banerjee
  • H. K. Pradhan
  • Trilochan Tripathy
  • A. Kanagaraj

Abstract

This paper examines the role of macroeconomic news surprises on returns volatility of Indian Index futures market. Empirical literature posits that news arrivals have an influential impact on asset returns and returns volatility. Consistent with this proposition, we have undertaken a comprehensive examination to understand the relationship between macroeconomic news releases, trading volume, and returns volatility in an emerging financial market like India. Using high-frequency data sampled at 1-minute interval along with a broader class of macroeconomic news, we found that macroeconomic news surprises significantly affect both returns volatility and trading volume and that the response of Index futures contract to macroeconomic news surprise is rather swift and significant. Further, there is evidence that several macroeconomic news surprises seemingly exhibit asymmetric impact on the Index futures contract.

Suggested Citation

  • Ameet Kumar Banerjee & H. K. Pradhan & Trilochan Tripathy & A. Kanagaraj, 2020. "Macroeconomic news surprises, volume and volatility relationship in index futures market," Applied Economics, Taylor & Francis Journals, vol. 52(3), pages 275-287, January.
    • Handle: RePEc:taf:applec:v:52:y:2020:i:3:p:275-287
    DOI: 10.1080/00036846.2019.1645277
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    Cited by:

    1. Doojin Ryu & Jinyoung Yu, 2022. "Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
    2. 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).
    3. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
    4. Banerjee, Ameet Kumar & Dionisio, Andreia & Pradhan, H.K. & Mahapatra, Biplab, 2021. "Hunting the quicksilver: Using textual news and causality analysis to predict market volatility," International Review of Financial Analysis, Elsevier, vol. 77(C).
    5. Banerjee, Ameet Kumar, 2021. "Futures market and the contagion effect of COVID-19 syndrome," Finance Research Letters, Elsevier, vol. 43(C).
    6. Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Boubaker, Sabri & Moussa, Faten, 2023. "Does green improve portfolio optimisation?," Energy Economics, Elsevier, vol. 124(C).
    7. Bouzgarrou, Houssam & Ftiti, Zied & Louhichi, Waël & Yousfi, Mohamed, 2023. "What can we learn about the market reaction to macroeconomic surprise? Evidence from the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 64(C).

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