EFFICIENCNCY OF THE GOVERNMENT BOND MARKETS AND FOREIGN EXCHANGE MARKETS IN JAPAN

在本研究中，我通过研究有效市场假说，分析了政府债券市场和外汇市场的结构。本文以1977年至1995年为样本，检验了外汇市场假说是否成立。本文利用协整方法对长期无偏性假设进行了估计，发现长期无偏性假设没有被否定。然后利用VECM框架，得出短期有效性假说不成立的结论，并通过协整方法检验了现货等价期货价格与价格之间的一致性，以检验有效市场假说。然后利用动态最小二乘法估计并检验了协整参数，发现样本之间存在协整关系，但参数的大小并不意味着相等，不能证明有效市场假说成立。

In this research, I have analyzed structure of the government bonds markets and foreign exchange markets, by studying the efficient market hypothesis. The sample period is from 1977 to 1995.I have tested whether the hypothesis of the foreign exchange markets holds or not. I have estimated the long-run unbiasedness hypothesis by the cointegration approach and found that the hypothesis not rejected. Then using VECM framework, I got the result that the short-run efficiency hypothesis did not hold.I tested equality between the spot-equivalent futures price and price in order to examine the efficient market hypothesis through the cointegration approach. Then I estimated and tested cointegration parameters by the dynamic OLS.I found that the samples have cointegration relation, but the value of the parameter does not mean the equality, so I could not find the efficient market hypothesis true.