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Return, Volatility and Liquidity of the JGB Futures

In: Studies On Financial Markets In East Asia

Author

Listed:
  • Takeo Minaki

    (Hokusei Gakuen University, Japan)

Abstract

This paper presents analysis of the relation among the return, volatility and liquidity of the Japanese Government Bond (JGB) Futures market of the Tokyo Stock Exchange (TSE).We estimate the GARCH-M with asymmetry model and the EGARCH-M model and conclude the existence of the volatility clustering and the asymmetry of volatility significantly in JGB Futures market. Moreover, results show the negative correlation between the intraday pattern of the return and that of the trade volume. Risk decreases as the volume increases. The return and the effective spread change in the opposite direction. The return is expected to increase, as the spread narrows. Risk decreases as the transaction cost of the investor increases.

Suggested Citation

  • Takeo Minaki, 2011. "Return, Volatility and Liquidity of the JGB Futures," World Scientific Book Chapters, in: Masayuki Susai & Shigeru Uchida (ed.), Studies On Financial Markets In East Asia, chapter 9, pages 147-164, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814343374_0009
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