2006 Fiscal Year Final Research Report Summary
Effect of Macroeconomic Announcement to JGB Markets
| Project/Area Number |
16530206
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
KAMAE Hiroshi Hitotsubashi University, Graduate School of Commerce and Management, Professor, 大学院商学研究科, 教授 (60091542)
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| Project Period (FY) |
2004 – 2006
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| Keywords | market efficiency / JGB futures / tick data / volatility / macroeconomic announcements / trading halts / spread / SGX market |
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| 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.
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