Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market

No 99-09, Working Papers in Applied Economic Theory from Federal Reserve Bank of San Francisco

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: Securities (search for similar items in EconPapers)
Date: 1999
New Economics Papers: this item is included in nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.frbsf.org/wp-content/uploads/wp99-09.pdf Full Text (text/html)

Related works:
Working Paper: Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfap:99-09

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers in Applied Economic Theory from Federal Reserve Bank of San Francisco Contact information at EDIRC.
Bibliographic data for series maintained by Federal Reserve Bank of San Francisco Research Library ().