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 Type	Single-year Grants
Section	一般
Research Field	Public finance/Monetary economics
Research Institution	HITOTSUBASHI 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
Keywords	Government 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.