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2003 Fiscal Year Final Research Report Summary

REFORM OF THE GOVERNMENT BOND MARKETS IN JAPAN

Research Project

Project/Area Number 14530106
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionHITOTSUBASHI UNIVERSITY

Principal Investigator

KAMAE Hiroshi  HITOTSUBASHI UNIV., GRADUATE SCHOOL OF COMMERCE AND MANAGEMENT, PROF., 大学院・商学研究科, 教授 (60091542)

Project Period (FY) 2002 – 2003
Keywordssemi-strong form market efficiency / event study / individual investors / long-term Government bonds / tick data / affine-yield model / implied volatility / option
Research Abstract

In this research, I have analyzed structure of the government bonds markets by studying the semi-strong-form of the efficient market hypothesis. The sample periods are from 1996 to 1998 and 1996-2002.
I have tested whether the hypothesis about the spot market and futures market holds using five minites inteval tick data and daily data.
Also, I used the affine-yield model, actual and implied volatility data estimated from option price data. Then using GARCH framework too, I got the result that the market efficiency hypothesis did not hold for this market.
From estimation result shows that, in the government bonds markets, information is not efficiently processed. In Japan, public sectors like central government especially the MOF and the BOJ have a grate deal of that bonds and the private sector cannot behave according to market mechanism.
In this study, I have studied reform of this market and new policyies by introducing individual traders here to make this market more efficient.

  • Research Products

    (8 results)

All Other

All Publications (8 results)

  • [Publications] 釜江廣志: "国際市場の非効率性と個人投資家の参加"一橋論叢. 129. 21-33 (2003)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 釜江廣志 他: "アフィン・イールドモデルによる国債市場効率性のテスト再論"一橋論叢. 129. 106-122 (2003)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 釜江廣志 他: "国債先物のインプライド・ボラティリティとニュース"一橋論叢. 130. 431-451 (2003)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 釜江廣志: "国債先物のアクチュアル・ボラティリティのイベントスタディ"一橋論叢. 131(未定). (2004)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Hiroshi KAMAE: "The Inefficiency of the Government Bonds Markets and individual traders' participation in Japan"The Hitotsubashi Review. 129. 21-33 (2003)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Hiroshi KAMAE, Sachiyo FUTAGI: "Tests of the Efficient Market Hypothesis the Government Bonds Markets in Japan Using Affine-yield Models"The Hitotsubashi Review. 129. 106-122 (2003)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Hiroshi KAMAE, Sachiyo FUTAGI: "News and the Implied Volatility of the Government Bonds Futures in Japan Using Affine-yield Models"The Hitotsubashi Review. 130. 431-451 (2003)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Hiroshi KAMAE: "An Event Study of the Government Bonds Futures Markets using Actual Volatility Data in Japan"The Hitotsubashi Review. 131. (2004)

    • Description
      「研究成果報告書概要(欧文)」より

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Published: 2005-04-19  

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