REFORM OF THE GOVERNMENT BOND MARKETS IN JAPAN

在本研究中，我通过研究有效市场假说的半强形式来分析政府债券市场的结构。样本周期为1996- 1998年和1996-2002年。我用5分钟间隔的tick数据和日数据检验了关于现货市场和期货市场的假设是否成立。此外，我使用了仿射收益模型，实际和隐含波动率数据估计从期权价格数据。然后运用GARCH框架，得到市场效率假说对该市场不成立的结论。从估计结果来看，在政府债券市场中，信息处理效率不高。在日本，像中央政府这样的公共部门，尤其是财务省和日本央行持有大量债券，而私营部门无法按照市场机制行事。在这项研究中，我研究了这个市场的改革和新的政策，通过引入个人交易者来提高这个市场的效率。

In this research, I have analyzed structure of the government bonds markets by studying the semi-strong-form of the efficient market hypothesis. The sample periods are from 1996 to 1998 and 1996-2002.I have tested whether the hypothesis about the spot market and futures market holds using five minites inteval tick data and daily data.Also, I used the affine-yield model, actual and implied volatility data estimated from option price data. Then using GARCH framework too, I got the result that the market efficiency hypothesis did not hold for this market.From estimation result shows that, in the government bonds markets, information is not efficiently processed. In Japan, public sectors like central government especially the MOF and the BOJ have a grate deal of that bonds and the private sector cannot behave according to market mechanism.In this study, I have studied reform of this market and new policyies by introducing individual traders here to make this market more efficient.