We analyze the efficiency and structure of the JGB futures market by examining how macroeconomic announcements influence the rate of return and the volatility by using tick data. By using the third function and FFF approach, the influence lasts three hours after the announcements. The JGB futures market is not efficient, if we take OLS's result into consideration. The influence of macroeconomic announcements to volatility is also analyzed with GARCH model in this study, and an analysis of the non-symmetry of volatility is done through GJR model. Our results show it takes more than one hour to return for volatility to the half level. So, we cannot consider JGB future market to be efficient. GJR shows that volatility is not symmetrical.