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1998 Fiscal Year Final Research Report Summary

EFFICIENCNCY OF THE GOVERNMENT BOND MARKETS AND FOREIGN EXCHANGE MARKETS IN JAPAN

Research Project

Project/Area Number 09630090
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionHITOTSUBASHI UNIVERSITY

Principal Investigator

KAMAE Hiroshi  HITOTSUBASHI UNIV., COMMERCE,PROF., 商学部, 教授 (60091542)

Project Period (FY) 1997 – 1998
KeywordsGovernment bond markets / spot-equivalent futures price / Efficient market hypothesis / unbiasedness hypothesis / VECM
Research Abstract

In this research, I have analyzed structure of the government bonds markets and foreign exchange markets, by studying the efficient market hypothesis. The sample period is from 1977 to 1995.
I have tested whether the hypothesis of the foreign exchange markets holds or not. I have estimated the long-run unbiasedness hypothesis by the cointegration approach and found that the hypothesis not rejected. Then using VECM framework, I got the result that the short-run efficiency hypothesis did not hold.
I tested equality between the spot-equivalent futures price and price in order to examine the efficient market hypothesis through the cointegration approach. Then I estimated and tested cointegration parameters by the dynamic OLS.I found that the samples have cointegration relation, but the value of the parameter does not mean the equality, so I could not find the efficient market hypothesis true.

  • Research Products

    (4 results)

All Other

All Publications (4 results)

  • [Publications] 釜江廣志: "わが国国債先物市場の効率性" 一橋論叢. 118. 38-51 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 釜江廣志: "為替市場の効率性" 一橋大学研究年報 商業研究. 38. 85-118 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Hiroshi KAMAE: "The Efficient Market Hypothesis of the Government Bonds Markets in Japan" The Hitotsubashi Review. 118. 38-51 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Hiroshi KAMAE: "The Efficient Market Hypothesis of the Foreign Exchange Markets in Japan" Hitotsubashi Univ.Research Series, Commerce & Management. 38. 85-118 (1997)

    • Description
      「研究成果報告書概要(欧文)」より

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Published: 1999-12-08  

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