Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

Weihua Shi (), Larry Eisenberg and Cheng Few Lee
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Weihua Shi: College of Business, The University of Southern Mississippi-Gulf Coast, Long Beach, MS 39560, USA

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2009, vol. 12, issue 01, 63-85

Abstract: Following Bollerslevet al.(2000), this study characterizes the high-frequency volatility of the Japanese Government Bond (JGB) futures on the Tokyo Stock Exchange (TSE) in terms of intraday calendar effects, announcement effects and volatility persistence effects. The results indicate that, unlike the case for the US Treasury bond futures, only four out of 21 scheduled macroeconomic announcements are found to have a significant impact on volatilities, and their instantaneous and daily influences are rather small. At both instantaneous and daily frequencies, volatility persistence effects have the largest influence on volatility, while macroeconomic announcements have only a negligible impact.

Keywords: Intraday patterns; announcement effects; volatility persistence (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1142/S021909150900154X

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