Price Discovery and Foreign Participation in Korea's Government Bond Futures and Cash Markets

2016 ◽  
Vol 37 (1) ◽  
pp. 23-51 ◽  
Author(s):  
Cyn-Young Park ◽  
Rogelio Mercado ◽  
Jaehun Choi ◽  
Hosung Lim
Keyword(s):  
Price Discovery ◽  
Government Bond ◽  
Bond Futures

scholarly journals The impact of the US stock market opening on price discovery of government bond futures

2019 ◽  
Vol 39 (7) ◽  
pp. 779-802 ◽  
Author(s):  
Ivan Indriawan ◽  
Feng Jiao ◽  
Yiuman Tse
Keyword(s):  
Stock Market ◽  
Price Discovery ◽  
Government Bond ◽  
Market Opening ◽  
The Us ◽  
The Impact ◽  
Bond Futures

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

2009 ◽  
Vol 12 (01) ◽  
pp. 63-85 ◽  
Author(s):  
Weihua Shi ◽  
Larry Eisenberg ◽  
Cheng-few Lee
Keyword(s):  
Stock Exchange ◽  
Japanese Government ◽  
Government Bond ◽  
Calendar Effects ◽  
Announcement Effects ◽  
Volatility Persistence ◽  
Macroeconomic Announcements ◽  
The Us ◽  
Treasury Bond ◽  
Bond Futures

Following Bollerslev et 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.

scholarly journals The Evolution of the Lead-lag Markets in the Price Discovery Process of the Sovereign Credit Risk: the Case of Italy

2021 ◽  
pp. 151-175
Author(s):  
Michele Anelli ◽  
Michele Patanè ◽  
Mario Toscano ◽  
Alessio Gioia
Keyword(s):  
Credit Risk ◽  
Price Discovery ◽  
Credit Default Swap ◽  
Government Bond ◽  
Counterparty Risk ◽  
Discovery Process ◽  
Sovereign Credit ◽  
Sovereign Credit Risk ◽  
The Government ◽  
Price Discovery Process

Abstract Hedging and speculative strategies play a key role in periods of financial market volatility particularly during economic crises. In such contexts, liquidity problems tend to evolve into potential credit risk events that amplifies the volatility of several markets such as the CDS and the government bond markets. The former, however, generally embodies a higher sensitivity to volatility due to the operators’ uncertainty about unstable and countercyclical counterparty risk. The aim of this paper is to analyze the long-lasting dynamic relationship between credit default swap (CDS) premia and government bond yield spreads (GBS), by focusing particularly on sovereign credit risk, in order to evaluate the lead-lag markets in the price discovery process against the backdrop of a deep financial crisis. The focus of this study concerns the country of Italy, one of the major European countries that suffers from both weak GDP growth and high public debt, which subjects it to volatility and speculation during periods of financial stress. JEL classification numbers: G01, G12, G14, G20. Keywords: CDS spreads, Government bond spreads, Credit risk, Cointegration, Vector error correction model, Granger-causality.

Quality options and hedging in Japanese Government Bond Futures markets

1996 ◽  
Vol 3 (2) ◽  
pp. 171-193 ◽  
Author(s):  
Shang-Wu Yu ◽  
Michael Theobald ◽  
John Cadle
Keyword(s):  
Futures Markets ◽  
Japanese Government ◽  
Government Bond ◽  
Bond Futures
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