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2000 Fiscal Year Final Research Report Summary

EXTENDED EFFICIECNCY OF THE SECURITIES MARKETS IN JAPAN

Research Project

Project/Area Number 11630092
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  GRADUATE SCHOOL OF COMMERCE, PROF., 大学院・商学研究科, 教授 (60091542)

Project Period (FY) 1999 – 2000
KeywordsGovernment bond markets / Event study / Semi-strong form efficiency hypothesis / stripes bond / inflation-indexed bond / ニュース
Research Abstract

In this research, I have analyzed the semi-strong form efficiency of the government bonds, its futures and Euro yen futures markets by studying impacts of macroeconomic announcements. The sample period is from 1991 to 1998.
I have tested whether these markets were affected by news about macroeconomic announcements including BOJ and MOF's open market operation. I have estimated how long these impacts continue, and found that these announcements had impact after 6 business days. These findings show the semi-strong form efficiency hypothesis dose not hold in the government bonds, its futures and Euro yen futures markets.
I guess why these markets are not efficient and found that in Japan, the short and long-term government bonds are not issued uniformly. In secondary markets, bonds with more than 7 years to maturity are heavily traded in order to deriver futures. Public sector like the government and central bank have many bonds, so private sector traders via market mechanism do not effectively behave in the markets. To make markets more efficient, individual and foreign traders are invited to these markets and new bonds like non-marketable, stripes and inflation-indexed are necessary to introduce.

  • Research Products

    (7 results)

All Other

All Publications (7 results)

  • [Publications] 釜江廣志: "株式市場の効率性"一橋論叢. 123. 1-15 (2000)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 釜江廣志: "国債現物・先物市場とユーロ円先物市場の効率性"一橋論叢. 124. 1-15 (2000)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 釜江廣志: "国債流通市場の効率性と市場の改善"生活経済学研究. 16. (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 釜江廣志: "日本の証券・金融市場の効率性"有斐閣. 318 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Hiroshi KAMAE: "Market Efficiency in the JGB, Its Futures and Euro yen Futures Markets : Some Further Tests."The Hitotsubashi Review. 124. 1-15 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Hiroshi KAMAE: "Market Efficiency in the JGB Markets and Its Reformation."Journal of Personal Finance and Economics. forthcoming. (2001)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Hiroshi KAMAE: "Yuhikaku"The Efficient Market Hypothesis of the Securities and Money Markets in Japan.. 318 (1999)

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

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Published: 2002-03-26  

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