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Identifier to cite or link to this item: https://hdl.handle.net/10086/16838

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Title
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
ワガクニ コクサイ サキモノ シジョウ ノ コウリツセイ : ティック データ ニヨル ケンショウ
Creator
Creator Name
釜江, 廣志 釜江, 廣志
Kamae, Hiroshi Kamae, Hiroshi
Affiliation
Affiliation Name
一橋大学
Creator Name
皆木, 健男 皆木, 健男
Minaki, Takeo Minaki, Takeo
Rights
Copyright (C)2004, 生活経済学会
Key Word
ティック･データ
tick data
マクロ経済アナウンスメント
macroeconomic announcements
ボラティリティ
volatility
市場の効率性
market efficiency
FFF
Fourie flexible form
GARCHモデル
GJRモデル
Abstract
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.
Publisher
生活経済学会
Issued Date
2004-09-30
Language
Japanese(jpn)
Resource Type
journal article
Version Type
VoR
ISSN
0912-4691
NCID
AN10046286
Source Title
生活経済学会会報
Volume Number
20
Page Start
21
Page End
43
Appears in Collections
010a Journal Articles　=　雑誌掲載論文
URL
https://hdl.handle.net/10086/16838