Intraday patterns, announcement effects, and volatility persistence in the Japanese government bond futures market
Document Type
Article
Publication Date
5-15-2009
Abstract
Following Bollerslev et al. (2000), this study characterizes the high-frequency volatility of the Japanese Government Bond (JGB) futures on the Tokyo Stock Exchange (TSE) in terms of intraday calendar effects, announcement effects and volatility persistence effects. The results indicate that, unlike the case for the US Treasury bond futures, only four out of 21 scheduled macroeconomic announcements are found to have a significant impact on volatilities, and their instantaneous and daily influences are rather small. At both instantaneous and daily frequencies, volatility persistence effects have the largest influence on volatility, while macroeconomic announcements have only a negligible impact. © 2009 World Scientific Publishing Co. and Center for Pacific Basin Business, Economics and Finance Research.
Identifier
65549147130 (Scopus)
Publication Title
Review of Pacific Basin Financial Markets and Policies
External Full Text Location
https://doi.org/10.1142/S021909150900154X
ISSN
02190915
First Page
63
Last Page
85
Issue
1
Volume
12
Recommended Citation
Shi, Weihua; Eisenberg, Larry; and Lee, Cheng Few, "Intraday patterns, announcement effects, and volatility persistence in the Japanese government bond futures market" (2009). Faculty Publications. 12078.
https://digitalcommons.njit.edu/fac_pubs/12078