This paper investigation aimed at understanding how stocks markets are affected with respect to the scheduled U.S. macroeconomic news announcements. Both investors on U.S. and non-U.S. investors will be interested in understanding how larger macroeconomic news announcements have an impact on US stock indices and how macroeconomic judgments can reveal more about the current economic state. While the investigation is limited in understanding with respect to current markets as such, and is restricted in scope to the selected time period, the research is still significant as it highlights the form of affect one could scout for in current market situations. The research aim of the paper was two-fold. In the context of scheduled macroeconomic announcements, individual US stock indices are affected. Implied volatility indices of VIX, VOX and VXN changed. Secondly, there is volatility spillover effects observed, and these are supported by existing research literature. The research investigation sought to throw light on these two effects.
An extensive list of news announcements was employed and news variables are constructed as well. Results are analysed in the context of existing research evidence. Drawing upon the literature of researchers such as Jiang et al. (2012), the impact of scheduled and unscheduled news announcements was assessed. The US stock market is the main arena for assessment. Some amount of comparative assessments was carried out with the European stock market. The hypothesis assumed was that ‘Implied Volatility Spillovers exist when there is a surprise effect in the news’. The research work made use of secondary research reports and primary data on the US indices.
The data collected is from three implied volatility indices. The volatility indices collected to understand impact on spillovers are from macroeconomic news announcements. Both scheduled news announcements and unscheduled surprise news announcements will be analysed by the method mentioned before. Sample collected is specific to time duration from Jan 1, 2008, to Dec 31, 2016. A summary statistical analysis was done based on the mean, median, maximum, minimum, standard deviation value, the skeweness, the kurtosis, the Jarque bera probability assessments and more. Correlation of the stocks is assessed and it is observed that the correlations are asymptotically consistent Therefore, it was concluded that the changes in stock ranking did have a correlation with news change influences.