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2006 Fiscal Year Final Research Report Summary

Effect of Macroeconomic Announcement to JGB Markets

Research Project

Project/Area Number 16530206
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 University, Graduate School of Commerce and Management, Professor, 大学院商学研究科, 教授 (60091542)

Project Period (FY) 2004 – 2006
Keywordsmarket efficiency / JGB futures / tick data / volatility / macroeconomic announcements / trading halts / spread / SGX market
Research Abstract

My project began to analyze market efficiency of Japanese Government Bond futures markets using tick data. My results shows that effects for rate of return and for volatility are significant and persistent. Macroeconomic announcements at 9 am are significant for more than half an hour and those of 2 pm are persistent for 3 hours and a half. GARCH results show that returning to half level of variance need more than 1 hour. These are evidence of market inefficiency.
My second paper shows that the trading halts hypothesis explains intraday movement of the volatility of return. Behavior of market participants could explain movement of the bid ask spread and trading quantity. Also, macroeconomic announcements explained the intraday movement of the volatility and trading quantity, but could not explained behavior of bid ask spread.
The last paper analyzed comparison of Tokyo Stock Exchange (TSE) and Singapore Exchange (SGX) markets. Both markets showed the U shape of volatility that was thought to be affected by the digesting time of information. According to trading cost and spread which was to measure liquidity, I got the results that SGX has smaller trading cost, higher liquidity and smaller informational asymmetry.

  • Research Products

    (6 results)

All 2006 2005 2004

All Journal Article (6 results)

  • [Journal Article] 日本国債先物取引の市場間比較 : マイクロストラクチャ・アプローチ2006

    • Author(s)
      釜江廣志, 皆木健男
    • Journal Title

      一橋商学論叢 Vol.1・No.2

      Pages: 38-52

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Comparison of JGB Futures Market Microstructure2006

    • Author(s)
      Hiroshi Kamae, Takeo Minaki
    • Journal Title

      Hltotsubashi Review of Commerce and Management Vol. 1

      Pages: 38-52

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] 日本の国債市場のマーケット・マイクロストラクチャ2005

    • Author(s)
      釜江廣志, 皆木健男
    • Journal Title

      一橋論叢 134巻5号

      Pages: 40-57

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Market Microstructure on the JGB market2005

    • Author(s)
      Hiroshi Kamae, Takeo Minaki
    • Journal Title

      Hltotsubashi Review Vol.134, No.5

      Pages: 40-57

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] わが国国債先物市場の効率性 : ティック・データによる検証2004

    • Author(s)
      釜江廣志, 皆木健男
    • Journal Title

      生活経済学研究 20

      Pages: 21-45

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Tests of Efficiency in the JGB Futures Market in Japan2004

    • Author(s)
      Hiroshi Kamae, Takeo Minaki
    • Journal Title

      Journal of Personal Finance and Economics Vol. 20

      Pages: 21-44

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

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Published: 2008-05-27  

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