vs Oct2024–now: short-window high mean |ret|=1.361% (n=38) vs none 0.565%; 15y high=1.468% (n=124) vs none 0.691%. High-impact still separates on the long sample.
Size of the day’s move ignoring direction: if Nifty is +1.2% or −1.2%, |ret| is 1.2%. Useful for “did news coincide with a big day?” rather than up vs down.
Today’s close ÷ yesterday’s close − 1. This page uses daily closes only (no intraday). Source index: NSE Nifty 50 via Yahoo Finance ^NSEI.
Our label for how market-moving the India news calendar entry looked that day. high = major episode (crash, war, Budget surprise, etc.); none/quiet = no verified major headline captured — not proof that nothing happened. See the India Daily News Calendar.
Rank correlation: does “higher impact” tend to line up with “bigger |moves|”? Ranges −1 to +1. Near 0 = weak rank link. Good when relationships are monotonic but not linear. Wikipedia · Investopedia
Linear correlation between impact coded 0–3 and the return series. A few extreme high-impact crash/rally days can lift Pearson even when Spearman stays soft. Wikipedia · Investopedia
Under a “no relationship” null, how often you’d see a result this strong by chance. Common rule of thumb: p < 0.05 is often called statistically noticeable — it is not proof of a tradable edge. Wikipedia
Effect size: how many pooled standard deviations separate two group means (here high-impact |ret| vs quiet |ret|). Rough guide: ~0.2 small, ~0.5 medium, ~0.8+ large. Wikipedia
Non-parametric tests comparing |ret| distributions across impact buckets without assuming normal returns. KW = overall difference among buckets; Mann–Whitney = pairwise (e.g. high vs none). Kruskal–Wallis · Mann–Whitney
For scheduled events (RBI, Budget, US CPI, FOMC), compare the reaction day’s |ret| to the average |ret| on the surrounding ±5 trading days. Positive “event − control” means the event day was choppier than its neighborhood. Classic intro: event study.
Directional flavour tags on the news calendar (e.g. risk-off, oil-shock, dovish-RBI). Mean return on those days is descriptive only — small n and selection bias apply. Overnight US prints are already mapped to the next India session in the calendar.
RBI = Reserve Bank of India policy decisions. FOMC = US Fed rate decisions. US CPI = US inflation print (often after India close → next session). Budget = Union Budget day in India.
High-impact days line up with larger |moves|, but that does not mean the tag caused the move, or that you can trade the label alone. Coverage is incomplete outside crises.
| impact | n | mean_abs_ret | median_abs_ret | mean_ret | median_ret | mean_gap | pct_up |
|---|---|---|---|---|---|---|---|
| high | 124 | 1.468% | 0.847% | -0.293% | -0.186% | -0.186% | 41.129% |
| medium | 98 | 0.643% | 0.494% | 0.046% | 0.039% | 0.124% | 52.041% |
| low | 486 | 0.659% | 0.491% | -0.004% | 0.025% | 0.109% | 51.646% |
| none | 2973 | 0.691% | 0.519% | 0.069% | 0.072% | 0.118% | 54.221% |
Kruskal–Wallis |ret|: H=27.627, p=4.35e-06. Cohen's d high vs none (|ret|) = 1.0579.
| metric | coeff | p |
|---|---|---|
| Spearman vs |ret| | 0.0242 | 0.1415 |
| Pearson vs |ret| | 0.1324 | 7.267e-16 |
| Spearman vs ret | -0.0385 | 0.0196 |
| Pearson vs ret | -0.0594 | 0.0003131 |
| category | n | mean_abs_ret | median_abs_ret | mean_ret | median_ret | pct_up |
|---|---|---|---|---|---|---|
| rbi | 99 | 0.834% | 0.611% | 0.053% | 0.009% | 51.515% |
| budget | 15 | 0.999% | 0.607% | 0.134% | -0.130% | 26.667% |
| election | 10 | 1.624% | 1.120% | 0.039% | 0.692% | 70.000% |
| geo | 49 | 2.147% | 1.380% | -1.026% | -0.757% | 32.653% |
| us-macro | 547 | 0.702% | 0.495% | -0.041% | 0.010% | 50.091% |
| earnings | 0 | — | — | — | — | — |
| policy | 136 | 0.910% | 0.607% | 0.186% | 0.000% | 50.000% |
| commodity | 24 | 1.687% | 1.280% | -1.063% | -1.074% | 20.833% |
| _all_trading_days | 3681 | 0.712% | 0.521% | 0.047% | 0.059% | 53.382% |
earnings category absent from source (n=0).
| bias_tag | n_same_day | mean_ret_same_day | mean_abs_ret_same_day | mean_ret_next_session |
|---|---|---|---|---|
| us-cpi-hot | 10 | -0.345% | 0.605% | 0.258% |
| us-cpi-soft | 1 | -0.657% | 0.657% | 0.110% |
| geo-risk | 26 | -1.428% | 2.535% | 0.623% |
| geo-relief | 4 | 2.301% | 2.301% | -0.502% |
| hawkish-rbi-risk | 1 | -1.068% | 1.068% | -1.358% |
| dovish-rbi | 24 | -0.422% | 0.878% | -0.204% |
| hawkish-fed | 25 | 0.045% | 0.587% | -0.128% |
| dovish-fed | 9 | 0.169% | 0.354% | -0.185% |
| risk-off | 44 | -1.747% | 2.295% | 0.102% |
| risk-on | 17 | 2.005% | 2.005% | -0.080% |
| oil-shock | 17 | -1.780% | 1.875% | 0.009% |
| tariff-risk | 8 | -1.014% | 1.049% | -0.315% |
| tariff-relief | 6 | 1.492% | 2.000% | 0.987% |
| global-risk-off | 17 | -2.970% | 2.982% | 0.479% |
| event | n | mean_ret | mean_abs_ret | control_mean_abs | event_minus_ctrl_abs |
|---|---|---|---|---|---|
| RBI decision | 94 | 0.049% | 0.811% | 0.751% | 0.060% |
| Budget | 15 | 0.104% | 1.029% | 0.799% | 0.230% |
| US CPI overnight | 179 | 0.008% | 0.707% | 0.695% | 0.012% |
| FOMC overnight | 121 | -0.040% | 0.811% | 0.744% | 0.068% |
| date | ret_pct | abs_ret_pct | impact_bucket | headline |
|---|---|---|---|---|
| 2020-03-23 | -12.980 | 12.980 | high | COVID crash nadir: Sensex -13.15% (~-3,935), Nifty -12.98% to ~7,511 |
| 2020-04-07 | 8.7632 | 8.7632 | quiet | (quiet) |
| 2020-03-12 | -8.3019 | 8.3019 | high | WHO pandemic declaration: Sensex -8.18%, Nifty -8.30% |
| 2020-03-16 | -7.6121 | 7.6121 | low | India open after overnight US data: FOMC |
| 2020-03-25 | 6.6247 | 6.6247 | high | First session after lockdown announcement |
| 2024-06-04 | -5.9294 | 5.9294 | high | Lok Sabha 2024 results: BJP short of solo majority; Nifty -5.93%, Sensex -5.74% |
| 2015-08-24 | -5.9151 | 5.9151 | high | China yuan devaluation shock: Sensex -5.94% (~1,624 pts) |
| 2020-03-20 | 5.8329 | 5.8329 | quiet | (quiet) |
| 2020-05-04 | -5.7445 | 5.7445 | quiet | (quiet) |
| 2020-03-18 | -5.5565 | 5.5565 | quiet | (quiet) |
| 2019-09-20 | 5.3191 | 5.3191 | high | FM announces corporate tax cut (evening); massive relief rally next day |
| 2020-03-09 | -4.8956 | 4.8956 | high | Oil crash + COVID: Sensex -1,942, Nifty -538 |
| 2022-02-24 | -4.7781 | 4.7781 | high | Russia invades Ukraine: global risk-off, oil spike |
| 2021-02-01 | 4.7424 | 4.7424 | high | Union Budget 2021-22 |
| 2020-03-30 | -4.3781 | 4.3781 | quiet | (quiet) |