Interest Rate Futures Dynamics with Macroeconomics Announcements : Tick by Tick Evidence from the Japanese Market
Ramgutty, Deepa Anjali (2015) Interest Rate Futures Dynamics with Macroeconomics Announcements : Tick by Tick Evidence from the Japanese Market. [Dissertation (University of Nottingham only)]
This study gives a high frequency one- minute tick data analysis of the Japanese 3 month Euroyen LIBOR interest rate futures and 10 year Japanese Government Bond futures markets in response to scheduled macroeconomic announcements for a 9 year period encompassing January 2005 to December 2013. Following Ederington and Lee (1993), four announcements significantly affect the interest rate futures return volatility, and five significantly affect that of the government bond futures_ Two components of market efficiency, namely serial correlation of returns and volatility persistence are investigated. Japanese futures markets are seen as efficient, with most of the significant price reaction occurring within the first minute. Sharp peaking of volatility in excess of five times than that obtained during non- announcement days confirm that it is caused by the announcements. Volatility persisted at much higher values for the first twenty minutes, and remained slightly elevated even after one hour_ This study also finds no evidence that the impacts on the futures markets are driven by the news component of the macroeconomic announcement release.
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