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The formation of the efficient market in Tokugawa Japan

Author

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  • Yasuo Takatsuki

    (Graduate School of Economics, Tokyo University)

Abstract

The first modern futures market is said to date back to the Chicago Board of Trade established in 1848. However, there existed an older precedent; the Dojima Rice Market established in 1730 in Osaka. The past literature on Dojima has made it clear that Dojima had well-established trading systems. However, a important question remains unanswered: whether the first well-established futures market efficient or not? This paper first constructs the daily price index from the original historical document, and applies the test of unbiasedness hypothesis and the classic measure of market efficiency; "weak-form efficiency" to Dojima Rice Market, and shows that there existed these types of efficiency.

Suggested Citation

  • Yasuo Takatsuki, 2006. "The formation of the efficient market in Tokugawa Japan," Discussion Papers in Economics and Business 06-28-Rev, Osaka University, Graduate School of Economics, revised May 2007.
    • Handle: RePEc:osk:wpaper:0628r
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    Keywords

    Tokugawa Period Japan; Futures Market; Informational Efficiency;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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