Nomura rolls out Economic Surprise Index in India

Nomura India has launched an index aimed at capturing the extent of surprise or gap in key economic data releases, with respect to market expectations. The Nomura Economic Surprises Index for India will be made up of key numbers such as GDP, IIP, purchasing managers index, bonds, currency and equity markets.

Sonal Verma, economist, Nomura India, says such an index is important because markets react to surprises in the economic data in relation to expectations, rather than the actual data. It is designed to capture the momentum and direction of data surprises.

“Since the index is mean reverting, data surprises at extreme levels can be a useful contrarian tool in picking turning points in India’s equity, foreign exchange and bond markets. The index has the highest correlation with equity and currency markets”, adds Verma.