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

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.

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

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

Rise and Fall of the First Financial Futures Market in China: The Case of Chinese Government Bond Futures

2009 ◽  
Vol 17 (2) ◽  
pp. 110-124 ◽  
Author(s):  
Chao Chen ◽  
Zhong-guo Zhou
Keyword(s):  
Futures Market ◽  
Chinese Government ◽  
Government Bond ◽  
Bond Futures

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

ASSESSING THE RISKS TO THE JAPANESE GOVERNMENT BOND MARKET

2013 ◽  
Vol 04 (01) ◽  
pp. 1350002 ◽  
Author(s):  
WAIKEI RAPHAEL LAM ◽  
KIICHI TOKUOKA
Keyword(s):  
Public Debt ◽  
Financial Distress ◽  
Financial Stability ◽  
Debt Crisis ◽  
Japanese Government ◽  
Government Bond ◽  
Bond Yields ◽  
Market Capacity ◽  
Debt Dynamics ◽  
The Government

Despite the rise in public debt, Japanese Government Bond (JGB) yields have remained low and stable, supported by steady inflows from household and corporate sectors, high domestic ownership of JGBs, and safe-haven flows in light of ongoing European debt crisis. Nonetheless, the market capacity to absorb new government debt will likely decline over time as the population ages, posing risks for the JGB market. This paper examines the key risks of the JGB market, including a decline of private sector savings and potential spillovers from global financial distress, which could push up the government bond yields. A sharp rise in interest rate could pose challenges on public debt dynamics and financial stability in Japan. In that regard, more ambitious fiscal reforms to reduce public debt will help limit these risks.

scholarly journals Assessing the Risks to the Japanese Government Bond (JGB) Market

2011 ◽  
Vol 11 (292) ◽  
pp. i ◽  
Author(s):  
Raphael W. Lam ◽  
Kiichi Tokuoka ◽  
◽  
Keyword(s):  
Japanese Government ◽  
Government Bond
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