NODA AKIHIKO    Department   Undergraduate School  , School of Commerce    Position   Professor
Research Period	2012/04～2015/03
Research Topic	Measuring the Time-Varying Efficiency and Market Linkages in Modern Japanese Rice Markets
Research Type	KAKENHI Research
Consignor	Japan Society for the Promotion of Science
Research Program Type	Grant-in-Aid for Scientific Research (C)
KAKENHI Grant No.	24530364
Responsibility	Representative Researcher
Representative Person	NODA Akihiko
Collaborative Researcher	ITO Mikio
Details	The objective of this study is to examine the efficient market hypothesis for the rice futures market in prewar Japan. To attain the objective, we measured the relative market efficiency varying over time and attempted to clarify what varied the efficiency. In particular, we constructed long-run data of the rice market in the period and showed that the efficiency actually varied over time using a time-varying econometric model newly developed. Furthermore, examining the results together with primary historical materials, we finally demonstrated that the government-led import of rice to fill domestic demand reduced the efficiency of domestic rice market in prewar Japan and that the rice futures market failed to provide a proper index of physical rice price.