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Trading patterns at the Tokyo Stock Exchange, 1931-1940

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Listed author(s):
  • Jean-Pascal Bassino
  • Thomas Lagoarde-Segot

Abstract

This paper relies on daily price indices for stocks and bonds to analyze the functioning of the Tokyo Stock Exchange (TSE) in the period 1931-1940. Although the TSE was a large and liquid market, its pricing mechanisms significantly deviated from weak-form efficiency. 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. The TSE was a risky financial environment in which investors adjusted their portfolios significantly in the aftermath of major events. Potential herding behaviours, price manipulation and reciprocal positive causality (contagion) were observed across markets. These deficiencies may partially explain Japan’s shift to bank-centered finance after WWII.

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File URL: https://www.cbe.anu.edu.au/researchpapers/ceh/WP201302.pdf
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Paper provided by Centre for Economic History, Research School of Economics, Australian National University in its series CEH Discussion Papers with number 012.

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Date of creation: Feb 2013
Handle: RePEc:auu:hpaper:012
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Keywords: emerging stock markets; technical trading; herding; event analysis;

Find related papers by JEL classification:

  • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
  • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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