Volatility Indices and Implied Uncertainty Measures of European Government Bond Futures

2020 ◽  
Author(s):  
Jaroslav Baran ◽  
Jan Vorisek
Keyword(s):  
Government Bond ◽  
Uncertainty Measures ◽  
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 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

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

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

Pricing and quality option in Japanese government bond futures

1999 ◽  
Vol 9 (1) ◽  
pp. 51-65 ◽  
Author(s):  
BING-HUEI LIN ◽  
REN-RAW CHEN ◽  
JIAN-HSIN CHOU
Keyword(s):  
Japanese Government ◽  
Government Bond ◽  
Bond Futures

Momentum in Government-Bond Markets

CFA Digest ◽  
2013 ◽  
Vol 43 (1) ◽  
pp. 105-108
Author(s):  
Servaas Houben
Keyword(s):  
Bond Markets ◽  
Government Bond ◽  
Government Bond Markets

A Study on China’s Local Government Bond

2020 ◽  
Vol 7 (2) ◽  
pp. 117-144
Author(s):  
Pilsoo Choi ◽  
Chihun Lee
Keyword(s):  
Local Government ◽  
Government Bond
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