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Article: Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market

TitleIntraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market
Authors
KeywordsC14
C22
G14
High-Frequency Data
Intraday Volatility Patterns
Long-Memory Volatility
Macroeconomic News Announcements
Treasury Bonds
Issue Date2000
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfin
Citation
Journal Of Empirical Finance, 2000, v. 7 n. 1, p. 37-55 How to Cite?
AbstractIn this paper, we provide a detailed characterization of the return volatility in US Treasury bond futures contracts using a sample of 5-min returns from 1994 to 1997. We find that public information in the form of regularly scheduled macroeconomic announcements is an important source of volatility at the intraday level. Among the various announcements, we identify the Humphrey-Hawkins testimony, the employment report, the producer price index (PPI), the employment cost, retail sales, and the NAPM survey as having the greatest impact. Our analysis also uncovers striking long-memory volatility dependencies in the fixed income market, a finding with important implications for the pricing of long-term options and other related instruments. © 2000 Elsevier Science B.V.
Persistent Identifierhttp://hdl.handle.net/10722/177648
ISSN
2015 Impact Factor: 0.907
2015 SCImago Journal Rankings: 0.879
References

 

DC FieldValueLanguage
dc.contributor.authorBollerslev, Ten_US
dc.contributor.authorCai, Jen_US
dc.contributor.authorSong, FMen_US
dc.date.accessioned2012-12-19T09:39:25Z-
dc.date.available2012-12-19T09:39:25Z-
dc.date.issued2000en_US
dc.identifier.citationJournal Of Empirical Finance, 2000, v. 7 n. 1, p. 37-55en_US
dc.identifier.issn0927-5398en_US
dc.identifier.urihttp://hdl.handle.net/10722/177648-
dc.description.abstractIn this paper, we provide a detailed characterization of the return volatility in US Treasury bond futures contracts using a sample of 5-min returns from 1994 to 1997. We find that public information in the form of regularly scheduled macroeconomic announcements is an important source of volatility at the intraday level. Among the various announcements, we identify the Humphrey-Hawkins testimony, the employment report, the producer price index (PPI), the employment cost, retail sales, and the NAPM survey as having the greatest impact. Our analysis also uncovers striking long-memory volatility dependencies in the fixed income market, a finding with important implications for the pricing of long-term options and other related instruments. © 2000 Elsevier Science B.V.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfinen_US
dc.relation.ispartofJournal of Empirical Financeen_US
dc.rightsJournal of Empirical Finance. Copyright © Elsevier BV.-
dc.subjectC14en_US
dc.subjectC22en_US
dc.subjectG14en_US
dc.subjectHigh-Frequency Dataen_US
dc.subjectIntraday Volatility Patternsen_US
dc.subjectLong-Memory Volatilityen_US
dc.subjectMacroeconomic News Announcementsen_US
dc.subjectTreasury Bondsen_US
dc.titleIntraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond marketen_US
dc.typeArticleen_US
dc.identifier.emailSong, FM: fmsong@hkucc.hku.hken_US
dc.identifier.authoritySong, FM=rp01095en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/S0927-5398(00)00002-5-
dc.identifier.scopuseid_2-s2.0-0010218351en_US
dc.identifier.hkuros53661-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0010218351&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume7en_US
dc.identifier.issue1en_US
dc.identifier.spage37en_US
dc.identifier.epage55en_US
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridBollerslev, T=7004087804en_US
dc.identifier.scopusauthoridCai, J=54881120900en_US
dc.identifier.scopusauthoridSong, FM=7203075605en_US

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