わが国国債先物市場の効率性 : ティック・データによる検証

DOI

書誌事項

タイトル別名
  • Tests of Efficiiency in the JGB Futures Market in Japan

この論文をさがす

説明

We analyze the efficiency and structure of the JGB futures market by examining how macroeconomic announcements influence the rate of return and the volatility by using tick data. By using the third function and FFF approach, the influence lasts three hours after the announcements. The JGB futures market is not efficient, if we take OLS's result into consideration. The influence of macroeconomic announcements to volatility is also analyzed with GARCH model in this study, and an analysis of the non-symmetry of volatility is done through GJR model. Our results show it takes more than one hour to return for volatility to the half level. So, we cannot consider JGB future market to be efficient. GJR shows that volatility is not symmetrical.

収録刊行物

関連プロジェクト

もっと見る

キーワード

詳細情報 詳細情報について

  • CRID
    1390001205767198848
  • NII論文ID
    110001818348
  • NII書誌ID
    AN10046286
  • DOI
    10.18961/seikatsukeizaigaku.20.0_21
  • ISSN
    24241288
    13417347
  • 本文言語コード
    ja
  • 資料種別
    journal article
  • データソース種別
    • JaLC
    • CiNii Articles
    • KAKEN
  • 抄録ライセンスフラグ
    使用不可

問題の指摘

ページトップへ