✦ LIBER ✦
An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era
✍ Scribed by Shigeyuki Hamori; Naoko Hamori; David A. Anderson
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 165 KB
- Volume
- 21
- Category
- Article
- ISSN
- 0270-7314
- DOI
- 10.1002/fut.1905
No coin nor oath required. For personal study only.
✦ Synopsis
Abstract
The Dojima Rice Market in Osaka was the first futures market in the world, and an influential role model for
modern futures markets. This study examines the efficiency of the original futures market by applying
time‐series analysis to data on futures prices from Japan's Tokugawa era
(1603–1867). The results of cointegration tests indicate that the futures market functioned
efficiently during the first sample period (1763–1780), but its efficiency declined during the
second sample period (1851–1864). © 2001 John Wiley & Sons, Inc. Jrl Fut Mark
21:861–874, 2001