EXTENDED EFFICIECNCY OF THE SECURITIES MARKETS IN JAPAN

在本研究中，我通过研究宏观经济公告的影响，分析了国债、国债期货和欧元期货市场的半强式效率。样本期为1991年至1998年。我检验了这些市场是否受到日本央行和财政部公开市场操作等宏观经济声明的影响。我估计了这些影响会持续多久，发现这些公告在6个工作日后就会产生影响。这些发现表明，半强形式效率假说在日本国债及其期货和欧元期货市场上不成立，我猜测了这些市场效率不高的原因，并发现在日本，短期和长期国债的发行并不统一。在二级市场，还有7年以上到期的债券交易量很大，目的是为了衍生期货。政府和央行等公共部门持有大量债券，因此私营部门交易者通过市场机制在市场上的行为并不有效。为了使市场更有效率，个人和外国交易员被邀请进入这些市场，有必要推出非市场化、条纹和通胀指数挂钩的新债券。

In this research, I have analyzed the semi-strong form efficiency of the government bonds, its futures and Euro yen futures markets by studying impacts of macroeconomic announcements. The sample period is from 1991 to 1998.I have tested whether these markets were affected by news about macroeconomic announcements including BOJ and MOF's open market operation. I have estimated how long these impacts continue, and found that these announcements had impact after 6 business days. These findings show the semi-strong form efficiency hypothesis dose not hold in the government bonds, its futures and Euro yen futures markets.I guess why these markets are not efficient and found that in Japan, the short and long-term government bonds are not issued uniformly. In secondary markets, bonds with more than 7 years to maturity are heavily traded in order to deriver futures. Public sector like the government and central bank have many bonds, so private sector traders via market mechanism do not effectively behave in the markets. To make markets more efficient, individual and foreign traders are invited to these markets and new bonds like non-marketable, stripes and inflation-indexed are necessary to introduce.