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An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era
Author(s) -
Hamori Shigeyuki,
Hamori Naoko,
Anderson David A.
Publication year - 2001
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.1905
Subject(s) - futures contract , cointegration , futures market , economics , sample (material) , financial economics , market efficiency , period (music) , econometrics , philosophy , chemistry , chromatography , aesthetics
The Dojima Rice Market in Osaka was the first futures market in the world, and an influential role model formodern futures markets. This study examines the efficiency of the original futures market by applyingtime‐series analysis to data on futures prices from Japan's Tokugawa era(1603–1867). The results of cointegration tests indicate that the futures market functionedefficiently during the first sample period (1763–1780), but its efficiency declined during thesecond sample period (1851–1864). © 2001 John Wiley & Sons, Inc. Jrl Fut Mark21:861–874, 2001