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

机译：宏观经济新闻惊喜，指数期货市场中的体积和波动关系

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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.
机译：本文探讨了宏观经济新闻惊喜对印度指数期货市场的返回波动的作用。经验文学占据新闻抵达对资产的影响有影响力，并返回波动。与此命题一致，我们已经进行了全面的审查，以了解宏观经济新闻发布，交易量与印度新兴金融市场之间的波动性的关系。使用以1分钟的时间间隔采样的高频数据以及更广泛的宏观经济新闻，我们发现宏观经济新闻惊喜显着影响返回波动率和交易量，并将指数期货合同与宏观经济新闻的响应相当迅速重大。此外，有证据表明，几种宏观经济新闻惊喜看似对指数期货合同表现出不对称影响。

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