The Futures Premium and Rice Market Efficiency in Prewar Japan
The Futures Premium and Rice Market Efficiency in Prewar Japan
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战前日本的期货溢价和大米市场效率
DOI：
10.1111/ehr.12608
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发表时间：
2017
影响因子：
2.2
通讯作者：
A.
中科院分区：
文献类型：
--
作者：
Ito;M.;Maeda;K.;and Noda;A.
本文从市场效率的角度研究了战前日本两大大米市场现货价格与期货价格的相互关系。对现货收益和期货溢价的基本方程应用非贝叶斯时变模型方法，我们检测了两个主要大米市场的效率降低发生的时间。我们还研究了政府干预如何影响日本的大米市场，日本在第二次世界大战之前曾是台湾和韩国的殖民地，并认为大米期货市场的功能在很大程度上取决于大米现货市场结构的差异。起初，与国产大米不同品种的进口大米数量的增加扰乱了大米期货市场。当时，政府对大米期货市场的干预未能改善这种混乱局面。殖民地水稻种植的变化成功地缓解了这种破坏，为了统一内陆和殖民地水稻的不同品种，殖民地水稻得到了推广。
This article studies the interrelation between spot and futures prices in the two major rice markets in prewar Japan from the perspective of market efficiency. Applying a non‐Bayesian time‐varying model approach to the fundamental equation for spot returns and the futures premium, we detect when efficiency reductions in the two major rice markets occurred. We also examine how government interventions affected the rice markets in Japan, which colonized Taiwan and Korea before the Second World War, and argue that the function of rice futures markets crucially depended on the differences in the structure of rice spot markets. Initially the increased volume of imported rice of a different variety from domestic rice disrupted the rice futures markets. Then, government intervention in the rice futures markets failed to improve the disruption. Changes in colonial rice cropping successfully mitigated the disruption, and colonial rice was promoted in order to unify the different varieties of inland and colonial rice.