Dynamic Linkages between Tokyo and Osaka Rice Futures Markets in Prewar Japan
AbstractIn this study, we examine how the rice futures market in prewar Japan evolved in light of changes in market efficiency over time. Using a non-Bayesian time-varying VAR model, we compute the time-varying degree of market efficiency of the rice futures exchanges in Tokyo and Osaka. Then, we demonstrate that the markets experienced three periods of significantly low market efficiency during government interventions: first, in 1890 in Osaka; second, in the early 1900s in Tokyo; and third, in the early 1920s in both Tokyo and Osaka.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1404.1164.
Date of creation: Apr 2014
Date of revision: Aug 2014
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-04-11 (All new papers)
- NEP-GER-2014-04-11 (German Papers)
- NEP-HIS-2014-04-11 (Business, Economic & Financial History)
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