EXTENDED EFFICIECNCY OF THE SECURITIES MARKETS IN JAPAN

日本证券市场的效率提高

• 批准号: 11630092
• 负责人: KAMAE Hiroshi
• 金额: $ 2.18万
• 依托单位: HITOTSUBASHI UNIVERSITY
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1999
• 资助国家: 日本
• 起止时间: 1999 至 2000
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-11630092/
• 关键词: Government bond markets; Event study; Semi-strong form efficiency hypothesis; stripes bond; inflation-indexed bond; ニュース; セミ・ストロング・フォーム; 国債利回り; イベント・スタディ; マクロ経済指標; ストリップス債; インフレ連動債; semi-strongフォーム

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.

在这项研究中，我通过研究宏观经济公告的影响，分析了政府债券，其期货和欧元日期市场的半突变效率。样本期是从1991年到1998年。我已经测试了这些市场是否受到有关宏观经济公告的新闻影响，包括BOJ和MOF的公开市场运营。我已经估计这些影响持续了多长时间，并发现这些公告在工作了6个工作日后产生了影响。这些发现表明，政府债券，期货和欧元日元期货市场中不持有的半强效率假设剂量。我猜猜为什么这些市场不有效，并且发现在日本，短期和长期的政府债券在日本不统一发行。在二级市场中，超过7年到期的债券进行了大量交易，以衍生未来。像政府和中央银行这样的公共部门有很多债券，因此通过市场机制通过市场机制在市场上没有有效的行为。为了提高市场效率，邀请个人和外国商人进入这些市场，并需要进行非营销，条纹和通货膨胀指数等新债券才能引入。

项目成果

釜江廣志: "国債流通市場の効率性と市場の改善"生活経済学研究. 16. (2001)

Hiroshi Kamae：“政府债券二级市场的效率和市场改善”生活方式经济学研究16。（2001）。

Hiroshi KAMAE: "Yuhikaku"The Efficient Market Hypothesis of the Securities and Money Markets in Japan.. 318 (1999)

Hiroshi KAMAE：“Yuhikaku”日本证券和货币市场的有效市场假说.. 318 (1999)

釜江廣志: "株式市場の効率性"一橋論叢. 123・5. 1-11 (2000)

釜江宏：《股票市场效率》一桥论庄 123・5（2000）。