Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market
AbstractThe market for U.S. Treasury securities operates around-the-clock from the three main trading centers of Tokyo, London, and New York. We examine this market for volatility spillovers using the methodology employed by Engle, Ito, and Lin (1990) for the foreign exchange market. We find meteor showers in Tokyo and London but not New York; i.e., volatility spills over into Tokyo and London from the other trading centers, but not into New York. We also find that lagged trading volume significantly impacts U.S. Treasury yield volatility for the overseas trading centers, although it does not change the basic meteor shower findings.
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Bibliographic InfoPaper provided by Federal Reserve Bank of New York in its series Staff Reports with number 82.
Date of creation: 1999
Date of revision:
Other versions of this item:
- Michael Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Working Papers in Applied Economic Theory 99-09, Federal Reserve Bank of San Francisco.
- NEP-ETS-1999-08-04 (Econometric Time Series)
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