Effect of Macroeconomic Announcement to JGB Markets

我的项目开始使用TICK数据分析日本政府债券期货市场的市场效率。我的结果表明，对收益率和波动率的影响是显著的和持久的。上午9点的宏观经济消息意义重大，持续了半个多小时，下午2点的宏观经济消息持续了3个半小时。GARCH结果表明，恢复到一半的方差水平需要1小时以上。这些都是市场无效率的证据。我的第二篇论文表明，交易暂停假说解释了回报波动性的日内变动。市场参与者的行为可以解释买卖价差和交易量的变动。此外，宏观经济公告解释了波动性和交易量的日内变动，但不能解释买卖价差的行为。最后，本文分析了东京证券交易所(TSE)和新加坡交易所(SGX)市场的比较。这两个市场都呈现出被认为受到信息消化时间影响的波动的U型。根据衡量流动性的交易成本和价差，得出新交所具有较小的交易成本、较高的流动性和较小的信息不对称。

My project began to analyze market efficiency of Japanese Government Bond futures markets using tick data. My results shows that effects for rate of return and for volatility are significant and persistent. Macroeconomic announcements at 9 am are significant for more than half an hour and those of 2 pm are persistent for 3 hours and a half. GARCH results show that returning to half level of variance need more than 1 hour. These are evidence of market inefficiency.My second paper shows that the trading halts hypothesis explains intraday movement of the volatility of return. Behavior of market participants could explain movement of the bid ask spread and trading quantity. Also, macroeconomic announcements explained the intraday movement of the volatility and trading quantity, but could not explained behavior of bid ask spread.The last paper analyzed comparison of Tokyo Stock Exchange (TSE) and Singapore Exchange (SGX) markets. Both markets showed the U shape of volatility that was thought to be affected by the digesting time of information. According to trading cost and spread which was to measure liquidity, I got the results that SGX has smaller trading cost, higher liquidity and smaller informational asymmetry.