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

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