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。样本周期为1977 - 1995年。我检验了外汇市场假说是否成立。我用协整方法估计了长期无偏性假设，发现该假设没有被拒绝。然后运用VECM框架，得到了短期效率假设不成立的结果。为了检验有效市场假说，我通过协整方法检验了现货当量期货价格与价格之间的相等性。然后用动态OLS估计和检验协整参数。我发现样本之间存在协整关系，但是参数的取值并不意味着相等，所以我无法发现有效市场假设成立。

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.