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Macroeconomic Announcements, Asymmetric Volatility, and IT: Evidence from JGB Futures
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Author(s): Takeo Minaki (Hokusei Gakuen University, Japan), Ichihiro Uchida (Aichi University, Japan)and Hiroshi Kamae (Hitotsubashi University, Japan)
Copyright: 2008
Pages: 12
Source title:
Information Technology and Economic Development
Source Author(s)/Editor(s): Yutaka Kurihara (Aichi University, Japan), Sadayoshi Takaya (Kansai University, Japan), Hisashi Harui (Kwansei Gakuin University, Japan)and Hiroshi Kamae (Hitotsubashi University, Japan)
DOI: 10.4018/978-1-59904-579-5.ch005
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Abstract
This study analyzes the impact of macroeconomic announcements on the conditional volatility of Japanese government bond (JGB) futures returns. As information technology continues to develop, the arrival and the processing of new market-related information becomes more rapid. Using high-frequency data of JGB futures, we find that announcement shocks influence the dynamics of bond market volatility. Our results provide empirical evidence that the JGB futures market does not immediately incorporate implications of macroeconomic announcement news. Volatility of JGB futures returns persists for a while. Moreover, after distinguishing among types of shocks, volatility is asymmetric. Negative shocks have a stronger impact on subsequent volatility than do positive shocks.
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