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Macroeconomic Announcements, Asymmetric Volatility, and IT: Evidence from JGB Futures

Macroeconomic Announcements, Asymmetric Volatility, and IT: Evidence from JGB Futures

Takeo Minaki, Ichihiro Uchida, Hiroshi Kamae
Copyright: © 2008 |Pages: 12
ISBN13: 9781599045795|ISBN10: 1599045796|ISBN13 Softcover: 9781616926793|EISBN13: 9781599045818
DOI: 10.4018/978-1-59904-579-5.ch005
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MLA

Minaki, Takeo, et al. "Macroeconomic Announcements, Asymmetric Volatility, and IT: Evidence from JGB Futures." Information Technology and Economic Development, edited by Yutaka Kurihara , et al., IGI Global, 2008, pp. 59-70. https://doi.org/10.4018/978-1-59904-579-5.ch005

APA

Minaki, T., Uchida, I., & Kamae, H. (2008). Macroeconomic Announcements, Asymmetric Volatility, and IT: Evidence from JGB Futures. In Y. Kurihara , S. Takaya , H. Harui, & H. Kamae (Eds.), Information Technology and Economic Development (pp. 59-70). IGI Global. https://doi.org/10.4018/978-1-59904-579-5.ch005

Chicago

Minaki, Takeo, Ichihiro Uchida, and Hiroshi Kamae. "Macroeconomic Announcements, Asymmetric Volatility, and IT: Evidence from JGB Futures." In Information Technology and Economic Development, edited by Yutaka Kurihara , et al., 59-70. Hershey, PA: IGI Global, 2008. https://doi.org/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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