Return, Volatility and Liquidity of the JGB Futures

Takeo Minaki
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Takeo Minaki: Hokusei Gakuen University, Japan

Chapter 9 in Studies on Financial Markets in East Asia, 2011, pp 147-164 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper presents analysis of the relation among the return, volatility and liquidity of the Japanese Government Bond (JGB) Futures market of the Tokyo Stock Exchange (TSE).We estimate the GARCH-M with asymmetry model and the EGARCH-M model and conclude the existence of the volatility clustering and the asymmetry of volatility significantly in JGB Futures market. Moreover, results show the negative correlation between the intraday pattern of the return and that of the trade volume. Risk decreases as the volume increases. The return and the effective spread change in the opposite direction. The return is expected to increase, as the spread narrows. Risk decreases as the transaction cost of the investor increases.

Keywords: Financial Market; Foreign Exchange Rate; Sub-prime Crisis; Real Estate Market; Relationship Banking; Dividend and Share; Stock Market; Government Bond; Hedging; IPO; Return; Volatility; Liquidity; Risk Attitude; Investment Behavior; Fund Managers (search for similar items in EconPapers)
Date: 2011
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