Heat Waves, Meteor Showers, and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market

37 Pages Posted: 13 Nov 1999

See all articles by Michael J. Fleming

Michael J. Fleming

Federal Reserve Bank of New York

Jose A. Lopez

Federal Reserve Bank of San Francisco

Date Written: July 1999

Abstract

The market for U.S. Treasury securities operates around-the-clock from the three main trading centers of Tokyo, London, and New York. We examine this market for volatility spillovers using the methodology employed by Engle, Ito, and Lin (1990) for the foreign exchange market. We find meteor showers in Tokyo and London but not New York; i.e., volatility spills over into Tokyo and London from the other trading centers, but not into New York. We also find that lagged trading volume significantly impacts U.S. Treasury yield volatility for the overseas trading centers, although it does not change the basic meteor shower findings.

Keywords: volatility, trading volume, GARCH, intraday, U.S. Treasury securities market

JEL Classification: G15

Suggested Citation

Fleming, Michael J. and Lopez, Jose Antonio, Heat Waves, Meteor Showers, and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market (July 1999). FRB of New York Staff Report No. 82, Available at SSRN: https://ssrn.com/abstract=173091 or http://dx.doi.org/10.2139/ssrn.173091

Michael J. Fleming (Contact Author)

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States
212-720-6372 (Phone)
212-720-1582 (Fax)

HOME PAGE: http://www.newyorkfed.org/research/economists/fleming/

Jose Antonio Lopez

Federal Reserve Bank of San Francisco ( email )

101 Market Street
San Francisco, CA 94105
United States
415-977-3894 (Phone)
415-974-2168 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
306
Abstract Views
1,842
rank
107,542
PlumX Metrics