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An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era


  • Shigeyuki Hamori
  • Naoko Hamori
  • David A. Anderson


The Dojima Rice Market in Osaka was the first futures market in the world, and an influential role model for modern futures markets. This study examines the efficiency of the original futures market by applying time‐series analysis to data on futures prices from Japan's Tokugawa era (1603–1867). The results of cointegration tests indicate that the futures market functioned efficiently during the first sample period (1763–1780), but its efficiency declined during the second sample period (1851–1864). © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:861–874, 2001

Suggested Citation

  • Shigeyuki Hamori & Naoko Hamori & David A. Anderson, 2001. "An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(9), pages 861-874, September.
  • Handle: RePEc:wly:jfutmk:v:21:y:2001:i:9:p:861-874

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    Cited by:

    1. 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.
    2. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2018. "The futures premium and rice market efficiency in prewar Japan," Economic History Review, Economic History Society, vol. 71(3), pages 909-937, August.
    3. Jean-Pascal Bassino & Thomas Lagoarde-Segot, 2013. "Trading patterns at the Tokyo Stock Exchange, 1931-1940," CEH Discussion Papers 012, Centre for Economic History, Research School of Economics, Australian National University.
    4. Thomas Lagoarde-Segot & Jean Pascal Bassino, 2012. "Informational dynamics and cross market linkages in the Tokyo Stock Exchange, 1931-40," Working Papers 12017, Economic History Society.
    5. Ito, Mikio & Maeda, Kiyotaka & Noda, Akihiko, 2016. "Market efficiency and government interventions in prewar Japanese rice futures markets," Financial History Review, Cambridge University Press, vol. 23(03), pages 325-346, December.
    6. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2016. "Market Integration in the Prewar Japanese Rice Markets," Papers 1604.00148,, revised Sep 2017.
    7. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 1-9, March.
    8. Gary Gorton & Fumio Hayashi & K. Rouwenhorst, 2006. "Commodity Futures: A Japanese Perspective," Yale School of Management Working Papers amz2609, Yale School of Management, revised 01 Feb 2007.
    9. Takeshi Inoue & Shigeyuki Hamori, 2014. "Market efficiency of commodity futures in India," Applied Economics Letters, Taylor & Francis Journals, vol. 21(8), pages 522-527, May.
    10. Gary Gorton & K. Geert Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," NBER Working Papers 10595, National Bureau of Economic Research, Inc.

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