Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924-1943
Fuente:
arXiv
Salvato in:
| Autori principali: | , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2019
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866913351723909120 |
|---|---|
| author | Hirayama, Kenichi Noda, Akihiko |
| author_facet | Hirayama, Kenichi Noda, Akihiko |
| contents | This study explores the time-varying structure of market efficiency in the prewar and wartime Japanese stock market using a new market capitalization-weighted stock price index, the equity performance index. We examine whether the adaptive market hypothesis (AMH) is supported in that era. First, we find that the degree of market efficiency in the prewar and wartime Japanese stock market varies over time and with major historical events. This implies that the AMH is supported in this market. Second, we find that the variation in market efficiency observed in this study is significantly different from that in previous studies because of whether the price index is capitalization weighted. Finally, as government intervention in the market intensified throughout the 1930s, market efficiency declined as the war risk premium rose, especially from the time when the Pacific War became inevitable. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1911_04059 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924-1943 Hirayama, Kenichi Noda, Akihiko Statistical Finance General Economics Economics General Finance This study explores the time-varying structure of market efficiency in the prewar and wartime Japanese stock market using a new market capitalization-weighted stock price index, the equity performance index. We examine whether the adaptive market hypothesis (AMH) is supported in that era. First, we find that the degree of market efficiency in the prewar and wartime Japanese stock market varies over time and with major historical events. This implies that the AMH is supported in this market. Second, we find that the variation in market efficiency observed in this study is significantly different from that in previous studies because of whether the price index is capitalization weighted. Finally, as government intervention in the market intensified throughout the 1930s, market efficiency declined as the war risk premium rose, especially from the time when the Pacific War became inevitable. |
| title | Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924-1943 |
| topic | Statistical Finance General Economics Economics General Finance |
| url | https://arxiv.org/abs/1911.04059 |