Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets

Mikio Ito, Kiyotaka Maeda and Akihiko Noda

Papers from arXiv.org

Abstract: This study analyzes how colonial rice trade in prewar Japan affected its rice market, considering several government interventions in the two rice futures exchanges in Tokyo and Osaka. We explore the interventions in the futures markets using two procedures. First, we measure the joint degree of efficiency in the markets using a time-varying vector autoregression model. Second, we examine many historical events that possibly affected the markets and focus on one event at a time. The degree varies over time within our sample period (1881-1932). The observation, together with historical analysis, leads to the following conclusions. (1) The two major markets in Tokyo and Osaka were nearly efficient. (2) Government interventions involving the delivery of imported rice from Taiwan and Korea often reduced futures market efficiency. Finally, (3) this relationship continued as long as the quality difference between imported and domestic rice existed. The government interventions that promoted domestic distributions of the colonial goods resulted in confusion in the commodity markets, and decreased efficiency of the markets in the metropole.

Date: 2014-04, Revised 2017-02
New Economics Papers: this item is included in nep-ger and nep-his
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/1404.1164 Latest version (application/pdf)

Related works:
Journal Article: Market efficiency and government interventions in prewar Japanese rice futures markets (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1404.1164

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().