Monetary and Economic Studies Vol.34 / November 2016

The Intraday Market Liquidity of Japanese Government Bond Futures

Naoshi Tsuchida, Toshiaki Watanabe, Toshinao Yoshiba

We investigate the intraday market liquidity of the Japanese government bond (JGB) futures. First, we overview the movement of various market liquidity indicators during the past decade, classifying them into four categories: tightness, depth, resiliency, and volume. Second, using the data under the current trade time, we extract their intraday pattern and the autocorrelation. Third, we find that the announcement of economic indicator has a negative effect on these liquidity indicators while the monetary policy announcement and the surprise of economic indicator have a positive effect on volume indicators. Fourth, we show that the shock persistence in liquidity indicators rises around April 2013, and the increased persistence remains in some liquidity indicators even several months after April 2013.

Keywords: Japanese government bond (JGB); Market liquidity; Liquidity indicator; Transaction data

Views expressed in the paper are those of the authors and do not necessarily reflect those of the Bank of Japan or Institute for Monetary and Economic Studies.

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