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

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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.