Intraday periodicity, long memory volatility, and macroeconomic announcement effects on China Treasury bond market

In this paper, we provide a detailed characterization of the volatility in China Treasury bond market using a sample of 5-min excess return from January, 4, 2000 to February, 28, 2002. We use two-step regression procedure and multivariate GARCH model to show that macroeconomic announcements is an important source of the volatility in China Treasury Bond market. Among the various announcements, we identify GDP, consumer price index (CPI), retail price index (RPI), People Bank of China benchmark interest rate, Shanghai Security Exchange (SSE) A-share index as having the greatest effects, which explain the observed high degree of volatility persistence on China Treasury bond market. Our analysis also uncovers striking long-memory volatility dependencies in China Treasury bond market, which is consistent with the finding in developed Treasury bond markets.