EXTENDED EFFICIECNCY OF THE SECURITIES MARKETS IN JAPAN

本研究通过宏观经济公告的影响，分析了国债、国债期货和欧元日元期货市场的半强式有效性。本文以1991年至1998年为样本，检验了日本央行和财政部公开市场操作等宏观经济消息是否会对这些市场产生影响。我估计了这些影响会持续多久，发现这些公告在6个工作日后产生影响。这些发现表明半强式有效假说在日本国债、国债期货和欧元日元期货市场上并不成立，我猜测了为什么这些市场是非有效的，并发现在日本，短期和长期国债的发行并不统一。在二级市场上，为了衍生期货，7年以上到期的债券交易量很大。政府和中央银行等公共部门拥有大量债券，因此私人部门交易员通过市场机制无法有效地在市场上进行交易。为了使市场更有效率，个人和外国交易者被邀请到这些市场，新的债券，如非市场化，条纹和通货膨胀指数是必要的介绍。

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.