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Abstract
The Volatility index (VIX) measures the uncertainty in equity market caused due to fear among investors. Macroeconomic news are one of the key drivers of equity returns and causes market fluctuations. Global studies on the behaviour of VIX during macroeconomic announcements have shown that macroeconomic announcements causes uncertainty in the equity markets. The Indian Volatility Index (IVIX) was introduced in India on March 2, 2009. An analysis on the share of Foreign Portfolio Investments in India have revealed that the major investors are from the U.S, hence the impact of the U.S. macroeconomic announcements would also have considerable impact on the market which has not been examined in the context of the IVIX. This study attempts to analyze a cross-section of eight US macroeconomic indicators for the time period March 2, 2009 to February 28, 2018, divided into three sub-sample periods from March 2, 2009 to August 25, 2011, August 26, 2011 to
May 15, 2014 and May 16, 2014 to February 28, 2018. The behaviour of IVIX to the macroeconomic announcements was investigated using the event study methodology. The dummy variable regression results showed that the U.S. announcements Federal Open Market Committee (FOMC), Producer Price Index (PPI), Employment situation, GDP, Durable goods and CPI caused impact and investors reacted asymmetrically to good and bad news.