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This study explores the time-varying structure of market efficiency for theprewar Japanese stock market using a new market capitalization-weighted stockprice index based on the adaptive market hypothesis (AMH). First, we find thatthe degree of market efficiency in the prewar Japanese stock market varies overtime and with major historical events. Second, the AMH is supported in thismarket. Third, this study concludes that market efficiency was maintainedthroughout the period, whereas previous studies did not come to the sameconclusion due to differences in the calculation methods of stock indices.Finally, as government intervention in the market intensified throughout the1930s, the market efficiency declined, as well as rapidly taking into accountthe war risk premium, especially from the time when the Pacific War becameinevitable.

Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market, 1924-1943