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Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

Author

Listed:
  • Weihua Shi

    (College of Business, The University of Southern Mississippi-Gulf Coast, Long Beach, MS 39560, USA)

  • Larry Eisenberg

    (School of Management, New Jersey Institute of Technology, Newark, NJ 07102, USA)

  • Cheng-few Lee

    (Rutgers Business School, Rutgers University, Piscataway, NJ 08854, USA;
    School of Business, Kainan University, Luzhu, Taoyuan County, 33857, Taiwan)

Abstract

Following Bollerslevet 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.

Suggested Citation

  • Weihua Shi & Larry Eisenberg & Cheng-few Lee, 2009. "Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 63-85.
    • Handle: RePEc:wsi:rpbfmp:v:12:y:2009:i:01:n:s021909150900154x
    DOI: 10.1142/S021909150900154X
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    References listed on IDEAS

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    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," PIER Working Paper Archive 04-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 28 Jun 2004.
    2. Shinobu Nakagawa & Naoto Osawa, 2000. "Financial Market and Macroeconomic Volatility - Relationships and Some Puzzles -," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
    3. Andersson, Magnus & Hansen, Lars Jul & Sebestyén, Szabolcs, 2006. "Which news moves the euro area bond market?," Working Paper Series 631, European Central Bank.
    4. Yosuke Shigemi & Sotaro Kato & Yutaka Soejima & Tokiko Shimizu, 2001. "Pricing of Japanese Government Bonds: Influence of Futures Prices, Repo Rates, and Supply-Demand Conditions of Specific Issues," Bank of Japan Review Series Market Review E-series, 2, Bank of Japan.
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    Cited by:

    1. Maojun Zhang & Yang Zhao & Jiangxia Nan, 2022. "Economic policy uncertainty and volatility of treasury futures," Review of Derivatives Research, Springer, vol. 25(1), pages 93-107, April.

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    More about this item

    Keywords

    Intraday patterns; announcement effects; volatility persistence;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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