scholarly journals Does maturity matter? The case of treasury futures volume

2019 ◽  
Vol 39 (10) ◽  
pp. 1301-1321
Author(s):  
Doina Chichernea ◽  
Kershen Huang ◽  
Alex Petkevich
Keyword(s):  
Treasury Futures

A Cost-Effective Approach to Hedging MBS Using Treasury Futures and Futures Options

1997 ◽  
Vol 6 (4) ◽  
pp. 88-97
Author(s):  
Larry Langowski ◽  
Tae H. Park ◽  
Lorne N. Switzer
Keyword(s):  
Cost Effective ◽  
Futures Options ◽  
Cost Effective Approach ◽  
Treasury Futures

scholarly journals An Empirical Study on Effects of US Treasury Futures Market on the KTB Futures Market and Its Information Transfer Effect – Mainly after the Global Financial Crisis

2015 ◽  
Vol 7 (12) ◽  
pp. 262
Author(s):  
Kim Sung-Hyun ◽  
Park Sang-Bum
Keyword(s):  
Financial Crisis ◽  
Information Transfer ◽  
Global Financial Crisis ◽  
Futures Market ◽  
Future Market ◽  
Risky Assets ◽  
The Us ◽  
Treasury Market ◽  
The Global Financial Crisis ◽  
Treasury Futures

Since the Global Financial Crisis in 2008, funds have been moved to safe assets from previously preferred risky assets on a global basis. Moreover, the financial crisis ignited in the U.S.A. led to strong quantitative easing policies, which played a major variable in the monetary policies of the major countries. So, the US treasury yield rates and Korean counterpart have showed signs of being synchronized. On the other hand, foreigners’ investments on Korean bonds became accelerated; the amount invested to Korean treasury by foreigners as well as their influence in the Korean treasury market has been expanded. Particularly, investment on the 10 year treasury bonds has increased, which spread influence of the Korean treasury market. In this regard, the study analyzed effects of the US treasury market on Korean counterpart. In order to analyze the volatility transfer effects from US treasury market to the KTB future market, in consideration of the synchronized maturity dates of the treasury and the officially announced prices, data on US 10 year treasury futures index and Korean 10 year treasury futures index . GARCH model was used for empirical analysis. Effects of the daily volatility and direction of US 10 year treasury futures index on the Korean counterpart was analyzed. Through the analysis, it was confirmed that information was transferred to the yield of Korean 10 year treasury futures index from the US counterpart. The study will be able to help establish more rational and efficient strategy for bond investment and operation.

A Model for Convexity-Based Cross-Hedges with Treasury Futures

2005 ◽  
Vol 15 (3) ◽  
pp. 68-79 ◽  
Author(s):  
Andrew H. Chen ◽  
Joseph Kang ◽  
Baochen Yang
Keyword(s):  
Treasury Futures
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