EXTENDED EFFICIECNCY OF THE SECURITIES MARKETS IN JAPAN

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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.