Central bank policy announcements and changes in trading behavior: Evidence from bond futures high frequency price data

Koichiro Kamada, Tetsuo Kurosaki, Ko Miura and Tetsuya Yamada

The North American Journal of Economics and Finance, 2022, vol. 59, issue C

Abstract: We present an analytical framework to investigate surprises in financial markets. The framework enables us to simultaneously identify and quantify surprises in security price data. By applying the framework to the tick-by-tick data on Japanese government bond futures prices, we find that the Bank of Japan’s introduction of quantitative and qualitative monetary easing in 2013 was one of the most surprising episodes during the period from 2005 to 2016. We also show that traders’ sensitivity to the Bank’s announcements has strengthened since the introduction of the negative interest rate policy in 2016, whereas their sensitivity to economic indicators and surveys has weakened substantially.

Keywords: Central bank announcements; Government bond futures; Herding behavior; Information efficiency; Market microstructure (search for similar items in EconPapers)
JEL-codes: C14 D40 D83 E58 G12 G14 (search for similar items in EconPapers)
Date: 2022
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Working Paper: Central Bank Policy Announcements and Changes in Trading Behavior: Evidence from Bond Futures High Frequency Price Data (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001753

DOI: 10.1016/j.najef.2021.101569

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