A Study on Time-Varying Structure of Market Integration and Market Efficiency in Modern Period: The Case of Rice Markets in Japan and Colonized Korea

2017 Fiscal Year Final Research Report

• Project/Area Number: 15K03542
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Kyoto Sangyo University
• Principal Investigator: NODA Akihiko 京都産業大学, 経済学部, 准教授 (80610112)
• Co-Investigator(Kenkyū-buntansha): 大豆生田 稔 東洋大学, 文学部, 教授 (20175251) ; 前田 廉孝 西南学院大学, 経済学部, 准教授 (90708398)
• Co-Investigator(Renkei-kenkyūsha): IOKU Shigehiko 慶應義塾大学, 文学部, 教授 (60184371) ; ITO Mikio 慶應義塾大学, 経済学部, 准教授 (70184695)
• Project Period (FY): 2015-04-01 – 2018-03-31
• Keywords: 計量ファイナンス / 日本経済史 / 市場効率性 / 先物取引 / 米穀法 / 米穀統制法 / 裁量性 / 朝鮮米

Outline of Final Research Achievements

The purpose of this study is to examine how the efficiency and the integration speed of rice market in Japan increased before Second World War. Concretely, we employed time-varying econometric models using the monthly spot and futures prices in Tokyo and Osaka. We found the following four facts by featuring the time-varying nature of the efficiency and integration of the market. First, government interventions involving the delivery of imported rice from Taiwan and Korea often reduced futures market efficiency before First World War. Second, the government interventions did not reduce the market efficiency after the 1920s. Third, the market efficiency improved in accordance with reduction in the government’s discretionary power to operate the rice policy under the Beikoku Ho (the Rice Law) and the Beikoku Tousei Ho (the Rice Control Law). Fourth, the increasing use of telegraphs accelerated rice market integration until the end of the 1910s.

Free Research Field

計量ファイナンス