Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market

Michael Fleming and Jose Lopez

No 82, Staff Reports from Federal Reserve Bank of New York

Abstract: The market for U.S. Treasury securities operates around-the-clock from the three main trading centers of Tokyo, London, and New York. We examine this market for volatility spillovers using the methodology employed by Engle, Ito, and Lin (1990) for the foreign exchange market. We find meteor showers in Tokyo and London but not New York; i.e., volatility spills over into Tokyo and London from the other trading centers, but not into New York. We also find that lagged trading volume significantly impacts U.S. Treasury yield volatility for the overseas trading centers, although it does not change the basic meteor shower findings.

Keywords: Treasury bills; Government securities; Stock market (search for similar items in EconPapers)
Date: 1999
New Economics Papers: this item is included in nep-ets
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Working Paper: Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market (1999)
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