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Identifier to cite or link to this item: https://hdl.handle.net/10086/80502

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Title
戦前株式市場の効率性 V：短期取引を対象に含めて
Efficiency of the Equity Markets in the Prewar Japan V：Including Short-term Futures Trading
Creator
Creator Name
釜江, 廣志 釜江, 廣志
KAMAE, Hiroshi KAMAE, Hiroshi
Affiliation
Affiliation Name
一橋大学
Key Word
株式市場の効率性
イベント・スタディ
短期精算取引
長期精算取引
企業ダミー
Abstract
This paper tests efficiency of the equity markets in the prewar Japan. I try semi-strong form tests of the short-term and long-term futures trading, using macro-economic indices and firms’ dividend, capital stock, and financial news. The Tokyo Stock Exchange new share and other 8 shares are included. Test period is between 1924 and 1941, and is split at 1933. According to the test results, at the short-term trading market no equity was efficient in total period, and the Tokyo Electric Light equity was efficient in the latter half period. At the long-term trading market, the Tokyo Electric Light and the Nippon Oil were efficient in total period, and the Kanebo and the Nissan were efficient in the former half period, the Tokyo Electric Light, the Nippon Oil, the Dai-Nippon Beer and the South Manchuria Railway were efficient in the latter half. These results are explained using trade ratio and equity owners’holding ratio.
Publisher
School of Business Administration, Hitotsubashi University Business School
Issued Date
2023-10
Language
Japanese(jpn)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Working paper ; No. 176
Number of Pages
34
Appears in Collections
Working Paper / School of Business Administration, Hitotsubashi University Business School
URL
https://hdl.handle.net/10086/80502