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Informational efficiency in the T okyo S tock E xchange, 1931–40
Author(s) -
Bassino JeanPascal,
LagoardeSegot Thomas
Publication year - 2015
Publication title -
the economic history review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.014
H-Index - 49
eISSN - 1468-0289
pISSN - 0013-0117
DOI - 10.1111/ehr.12096
Subject(s) - context (archaeology) , function (biology) , market segmentation , monetary economics , market efficiency , economics , business , financial economics , microeconomics , geography , archaeology , evolutionary biology , biology
This article relies on a unique dataset of daily price indices for stocks and bonds to analyse the functioning of the T okyo S tock E xchange ( TSE ) in the period 1931–40. We find that this market deviated from weak‐form efficiency, in a context of cross‐market segmentation, short‐run spillovers, and turmoil surrounding major events. 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. Such findings call for a micro‐level analysis of the interwar TSE corporate financing function.