Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
This paper measures the joint degree of market efficiency in prewar Japanese rice futures markets using a non-Bayesian time-varying VAR model. We find that the two major rice futures markets (in Tokyo and Osaka) were almost efficient. We also find that government interventions involving the delivery of imported rice from Taiwan and Korea often reduced futures market efficiency. This relationship continued as long as a quality difference existed between imported and domestic rice.
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