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participants at the Bank of Japan, the FMA Annual Meeting (1998), and the Federal Reserve Bank of New York for their comments and suggestions. We also thank Natalia Millan for research assistance. The views expressed here are those of the authors = and not necessarily those of the Federal Reserve Bank of New York, the Federal Reserve Bank of San Francisco, or the Federal Reserve System. Heat Waves, Meteor Showers, and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market 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. Heat Waves, Meteor Showers, and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market I. |