scholarly journals Relevance of Uncertainty on the Volatility and Trading Volume in the US Treasury Bond Futures Market

2015 ◽  
Author(s):  
Helinn Laakkonen
Keyword(s):  
Trading Volume ◽  
Futures Market ◽  
The Us ◽  
Treasury 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.

The Analysis of the Characteristics and the Reasons of China Treasury Bond Futures

GIS Business ◽  
2016 ◽  
Vol 11 (5) ◽  
pp. 01-10
Author(s):  
Ming Li ◽  
Shaofeng Yuan ◽  
Yiwen Jiang
Keyword(s):  
Futures Market ◽  
Market Impact ◽  
Factors Affecting ◽  
The Core ◽  
Market Operation ◽  
Treasury Bond ◽  
Main Factors ◽  
Realistic Significance ◽  
Bond Futures

Treasury bond futures basis is one of the core indicators of futures market operation quality. Identifying characteristics and causes of futures basis from an objective respect are of realistic significance for correctly understanding and improving the treasury bond futures market. Based on the analysis of Chinas treasury bond futures basis, the article summarizes the main factors affecting treasury bond futures basis, elaborates the market impact of characteristics of treasury bond futures spread, and then offers a proposal to improve the treasury bond futures market.

Limit moves and price resolution: The case of the treasury bond futures market

1989 ◽  
Vol 9 (4) ◽  
pp. 321-335 ◽  
Author(s):  
Christopher K. Ma ◽  
Ramesh P. Rao ◽  
R. Stephen Sears
Keyword(s):  
Futures Market ◽  
Treasury Bond ◽  
Price Resolution ◽  
Bond Futures
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