Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

Following Bollerslev et. al (2000), we do a similar study in terms of Japanese Government Bond (JGB) market. In this paper we characterize the high-frequency volatility of the Japanese Government Bond (JGB) futures on the Tokyo Stock Exchange (TSE) using five-minute returns from April 1998 to March 2000. Since Japanese market has traded in two sessions instead of one session per day, therefore the intraday pattern of the five-minute return volatility displays a “double-U” shape. Unlike the case for U.S. Treasury bond futures, only three out of 21 scheduled macroeconomic announcements have significant impacts on volatilities and their instantaneous and daily influences are rather small. The average volatility response pattern to the announcements is also unique. This may be explained by the economic conditions in Japan and trading as a process of information revelation. In addition, this paper has compared the differences in the characteristics of high-frequency volatilities between JGB futures and other markets including the US Treasury Bond Futures market