Advanced Search
MyIDEAS: Login to save this article or follow this journal

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

Contents:

Author Info

  • 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 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S021909150900154X
Download Restriction: Access to full text is restricted to subscribers.

File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=html&id=pii:S021909150900154X
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.

Volume (Year): 12 (2009)
Issue (Month): 01 ()
Pages: 63-85

as in new window
Handle: RePEc:wsi:rpbfmp:v:12:y:2009:i:01:p:63-85

Contact details of provider:
Web page: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml

Order Information:
Email:

Related research

Keywords: Intraday patterns; announcement effects; volatility persistence;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wsi:rpbfmp:v:12:y:2009:i:01:p:63-85. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.