英文标题：
《Market Efficiency and Government Interventions in Prewar Japanese Rice
  Futures Markets》
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作者：
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
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最新提交年份：
2017
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英文摘要：
  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.
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中文摘要：
考虑到政府对东京和大阪两个大米期货交易所的几次干预，本研究分析了战前日本的殖民大米贸易如何影响其大米市场。我们使用两个程序探讨期货市场的干预。首先，我们使用时变向量自回归模型来衡量市场的联合效率。第二，我们研究了许多可能影响市场的历史事件，每次只关注一个事件。在我们的样本期（1881-1932）内，学位随时间而变化。通过观察和历史分析，得出以下结论。（1） 东京和大阪这两个主要市场几乎都是高效的。（2） 涉及从台湾和韩国进口大米的政府干预通常会降低期货市场的效率。最后，（3）只要进口大米和国产大米之间存在质量差异，这种关系就会持续。政府的干预促进了殖民地商品的国内分配，导致了商品市场的混乱，降低了大都市市场的效率。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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