课题基金 / 基金详情

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

EFFICIENCNCY OF THE GOVERNMENT BOND MARKETS AND FOREIGN EXCHANGE MARKETS IN JAPAN
日本政府债券市场和外汇市场的效率
批准号:
09630090
负责人:
KAMAE Hiroshi
金额:
$1.54万
依托单位:
依托单位国家:
日本
项目类别:
Grant-in-Aid for Scientific Research (C)
财政年份:
1997
资助国家:
日本
项目状态:
已结题
起止时间:
1997 至 1998

项目摘要

项目成果

KAMAE Hiroshi的其他基金

相关文献

中文摘要
翻译
点击翻译按钮获取中文摘要
英文摘要
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.
期刊论文(8)
专著(0)
科研奖励(0)
会议论文
釜江廣志: "わが国国債先物市場の効率性" 一橋論叢. 118-5. 38-51 (1997)
Hiroshi Kamae:“日本政府债券期货市场的效率”Hitotsubashi Ronsen 118-51 (1997)。
DOI: --
发表时间:
期刊:
影响因子: --
作者: []
通讯作者:
DOI: --
发表时间:
期刊:
影响因子: --
作者: []
通讯作者:
釜江廣志: "為替市場の効率性" 一橋大学研究年報商学研究. 38. 85-118 (1997)
Hiroshi Kamae:“外汇市场效率”一桥大学商业研究年度报告 38. 85-118 (1997)。
DOI: --
发表时间:
期刊:
影响因子: --
作者: []
通讯作者:
釜江廣志: "わが国国債先物市場の効率性" 一橋論叢. 118・5. 38-51 (1997)
Hiroshi Kamae:“日本政府债券期货市场的效率”一桥论生 118・51(1997)。
DOI: --
发表时间:
期刊:
影响因子: --
作者: []
通讯作者:
8
    JGB market, debt management and market policy
    • 批准号:
      26512013
    • 项目类别:
      Grant-in-Aid for Scientific Research (C)
    • 资助金额:
      $2.58万
    • 财政年份:
      2014
    • 负责人:
      KAMAE Hiroshi
    • 依托单位:
    Tests of Market Efficiency of the JGB Markets and JGBManagement Policy
    • 批准号:
      22530319
    • 项目类别:
      Grant-in-Aid for Scientific Research (C)
    • 资助金额:
      $2.75万
    • 财政年份:
      2010
    • 负责人:
      KAMAE Hiroshi
    • 依托单位:
    Microstructure in JGB markets and market efficiency
    • 批准号:
      19530269
    • 项目类别:
      Grant-in-Aid for Scientific Research (C)
    • 资助金额:
      $2.33万
    • 财政年份:
      2007
    • 负责人:
      KAMAE Hiroshi
    • 依托单位:
    Effect of Macroeconomic Announcement to JGB Markets
    • 批准号:
      16530206
    • 项目类别:
      Grant-in-Aid for Scientific Research (C)
    • 资助金额:
      $1.73万
    • 财政年份:
      2004
    • 负责人:
      KAMAE Hiroshi
    • 依托单位: