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式来分析政府债券市场的结构。样本期分别为1996-1998年和1996-2002年，利用5分钟的积分交易数据和每日数据检验了现货市场和期货市场的假设是否成立，并使用了仿射收益率模型、根据期权价格数据估计的实际波动率和隐含波动率数据。然后运用GARCH框架，得出市场效率假说不适用于我国国债市场的结论。从估计结果看，在国债市场上，信息不能得到有效处理。在日本，像中央政府这样的公共部门，特别是日本财务省和日本央行，有大量的这种债券，私人部门不能按照市场机制行事。在这项研究中，我研究了这个市场的改革和新政策，在这里引入个人交易员，使这个市场更有效率。

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.