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Dynamic Linkages between Tokyo and Osaka Rice Futures Markets in Prewar Japan

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  • Mikio Ito
  • Kiyotaka Maeda
  • Akihiko Noda

Abstract

In 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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File URL: http://arxiv.org/pdf/1404.1164
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Paper provided by arXiv.org in its series Papers with number 1404.1164.

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Date of creation: Apr 2014
Date of revision: Aug 2014
Handle: RePEc:arx:papers:1404.1164

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Web page: http://arxiv.org/

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  1. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
  2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  3. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "The Evolution of Market Efficiency and Its Periodicity: A Non-Bayesian Time-Varying Model Approach," Papers 1202.0100, arXiv.org, revised Mar 2013.
  4. Hamilton, James D., 1987. "Monetary factors in the great depression," Journal of Monetary Economics, Elsevier, vol. 19(2), pages 145-169, March.
  5. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
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