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Informational efficiency in the Tokyo Stock Exchange, 1931–40

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  • Jean-Pascal Bassino
  • Thomas Lagoarde-Segot

Abstract

type="main"> This article relies on a unique dataset of daily price indices for stocks and bonds to analyse the functioning of the Tokyo Stock Exchange (TSE) in the period 1931–40. We find that this market deviated from weak-form efficiency, in a context of cross-market segmentation, short-run spillovers, and turmoil surrounding major events. In this context, zaibatsu insiders were able to make abnormal returns via informed trading, while other uninformed investors could rely on technical rules to make abnormal profits. Such findings call for a micro-level analysis of the interwar TSE corporate financing function.

Suggested Citation

  • Jean-Pascal Bassino & Thomas Lagoarde-Segot, 2015. "Informational efficiency in the Tokyo Stock Exchange, 1931–40," Economic History Review, Economic History Society, vol. 68(4), pages 1226-1249, November.
    • Handle: RePEc:bla:ehsrev:v:68:y:2015:i:4:p:1226-1249
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    File URL: http://hdl.handle.net/10.1111/ehr.12096
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    3. Hanedar, Avni Önder & Yaldız Hanedar, Elmas & Göktan, Mehmet Gökhan, 2022. "Insider trading on Ottoman sovereign default: The Ottoman General Debt Bond at European and İstanbul financial markets," Finance Research Letters, Elsevier, vol. 47(PB).
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