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The Intraday Market Liquidity of Japanese Government Bond Futures

Author

Listed:
  • Naoshi Tsuchida

    (Deputy Director and Economist, Institute for Monetary and Economic Studies (currently Financial System and Bank Examination Department), Bank of Japan (E-mail: naoshi.tsuchida@boj.or.jp))

  • Toshiaki Watanabe

    (Professor, Institute of Economic Research, Hitotsubashi University; Institute for Monetary and Economic Studies, Bank of Japan (E-mail: watanabe@ier.hit-u.ac.jp))

  • Toshinao Yoshiba

    (Director and Senior Economist, Institute for Monetary and Economic Studies, Bank of Japan (E-mail: toshinao.yoshiba@boj.or.jp))

Abstract

We investigate the intraday market liquidity of the Japanese government bond (JGB) futures. First, we overview the movement of various market liquidity indicators during the past decade, classifying them into four categories: tightness, depth, resiliency, and volume. Second, using the data under the current trade time, we extract their intraday pattern and the autocorrelation. Third, we find that the announcement of economic indicator has a negative effect on these liquidity indicators while the monetary policy announcement and the surprise of economic indicator have a positive effect on volume indicators. Fourth, we show that the shock persistence in liquidity indicators rises around April 2013, and the increased persistence remains in some liquidity indicators even several months after April 2013.

Suggested Citation

  • Naoshi Tsuchida & Toshiaki Watanabe & Toshinao Yoshiba, 2016. "The Intraday Market Liquidity of Japanese Government Bond Futures," IMES Discussion Paper Series 16-E-07, Institute for Monetary and Economic Studies, Bank of Japan.
    • Handle: RePEc:ime:imedps:16-e-07
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    References listed on IDEAS

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    Cited by:

    1. Keiichi Goshima & Yusuke Kumano, 2018. "Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market," IMES Discussion Paper Series 18-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
    2. Linas Jurksas & Deimante Teresiene & Rasa Kanapickiene, 2021. "Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions," Economies, MDPI, vol. 9(1), pages 1-22, March.
    3. Jurksas Linas, 2018. "What Factors Shape the Liquidity Levels of Euro Area Sovereign Bonds?," Open Economics, De Gruyter, vol. 1(1), pages 154-166, December.
    4. Richards, Daniel W. & Willows, Gizelle D., 2019. "Monday mornings: Individual investor trading on days of the week and times within a day," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 105-115.
    5. Hattori, Takahiro, 2019. "J-liquidity measure: The term structure of the liquidity premium in Japan," Japan and the World Economy, Elsevier, vol. 49(C), pages 61-72.

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    More about this item

    Keywords

    Japanese government bond (JGB); market liquidity; liquidity indicator; transaction data;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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