The Intraday Market Liquidity of Japanese Government Bond Futures

Naoshi Tsuchida, Toshiaki Watanabe and Toshinao Yoshiba
Additional contact information
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)

No 16-E-07, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

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.

Keywords: Japanese government bond (JGB); market liquidity; liquidity indicator; transaction data (search for similar items in EconPapers)
JEL-codes: C32 G12 G14 (search for similar items in EconPapers)
Date: 2016-07
New Economics Papers: this item is included in nep-cse, nep-fmk and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ime:imedps:16-e-07

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