Responses of Economic News on Asset Prices: A Study of Indian Stock Index Futures

  • Ameet Kumar Banerjee Xavier Institute of Management
  • HK Pradhan

Abstract

The study examines the role of economic news surprises on the volatility of the returns of the Indian Index futures market. Theoretical literature posits that news arrivals influence price discovery. In similar lines, we investigated the relationship between economic news releases, trading activity variables, and returns volatility. We find that economic news surprises and trading activity variables significantly affect returns volatility. However, among volume and news surprises, economic news surprises are much stronger informational signals, and the news surprises effects are found seemingly asymmetric in the index futures contract.

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Published
2020-11-18
How to Cite
BanerjeeA. K., & PradhanH. (2020). Responses of Economic News on Asset Prices: A Study of Indian Stock Index Futures. Applied Finance Letters, 9(SI), 3-14. https://doi.org/10.24135/afl.v9i2.249
Section
Special Issue on conference Changing Landscape of Securities Market