Empirical Analysis on the Impact of Unconventional Emergencies on China��s Stock and Bond Market Volatility

2013 ◽  
Vol 8 (9) ◽  
pp. 69-77
Author(s):  
Li Xiaolin ◽  
Li Shiming ◽  
Li Chenggang
Keyword(s):  
Empirical Analysis ◽  
Bond Market ◽  
Market Volatility ◽  
The Impact ◽  
Bond Market Volatility

Macroeconomic Announcements, Asymmetric Volatility, and IT

2011 ◽  
pp. 59-70
Author(s):  
Takeo Minaki ◽  
Ichihiro Uchida ◽  
Hiroshi Kamae
Keyword(s):  
Information Technology ◽  
Futures Market ◽  
Bond Market ◽  
Market Volatility ◽  
Frequency Data ◽  
Asymmetric Volatility ◽  
Related Information ◽  
Macroeconomic Announcements ◽  
The Impact ◽  
Bond Market Volatility

This study analyzes the impact of macroeconomic announcements on the conditional volatility of Japanese government bond (JGB) futures returns. As information technology continues to develop, the arrival and the processing of new market-related information becomes more rapid. Using high-frequency data of JGB futures, we find that announcement shocks influence the dynamics of bond market volatility. Our results provide empirical evidence that the JGB futures market does not immediately incorporate implications of macroeconomic announcement news. Volatility of JGB futures returns persists for a while. Moreover, after distinguishing among types of shocks, volatility is asymmetric. Negative shocks have a stronger impact on subsequent volatility than do positive shocks.

Bond Market Volatility Compared to Stock Market Volatility

2000 ◽  
Vol 27 (1) ◽  
pp. 82-92 ◽  
Author(s):  
Frank K. Reilly ◽  
David J. Wright ◽  
Kam C. Chan
Keyword(s):  
Stock Market ◽  
Bond Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Bond Market Volatility

Financial market stability rests on steady bond yields

2020 ◽  
Keyword(s):  
Central Bank ◽  
Financial Market ◽  
Equity Markets ◽  
Central Banks ◽  
Bond Market ◽  
Market Volatility ◽  
Bond Yields ◽  
Content Type ◽  
Financial Market Stability ◽  
Bond Market Volatility

Significance Furthermore, liquidity injections by central banks are supressing bond yields. However, even a hint from major central banks that inflation is picking up faster than anticipated could roil stock markets, whose lofty valuations depend on yields remaining ultra-low. Impacts A communication blunder by a major central bank could exacerbate any bond market volatility and cause a sharp sell-off in equity markets. More transmissible coronavirus strains are reaching more nations and reigniting fears about the speed and efficacy of vaccine rollout. A record USD18tn of public and corporate debt is yielding a negative return, fuelling demand for higher-yield EM bonds and currencies. The trade-weighted dollar has fallen by nearly 4% since end-September to the lowest since April 2018; it is set to stay under pressure.

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