Informational efficiency in the T okyo S tock E xchange, 1931–40

This article relies on a unique dataset of daily price indices for stocks and bonds to analyse the functioning of the T okyo S tock E xchange ( TSE ) in the period 1931–40. We find that this market deviated from weak‐form efficiency, in a context of cross‐market segmentation, short‐run spillovers, a...

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Bibliographic Details
Published in:The Economic history review 2015-11, Vol.68 (4), p.1226-1249
Main Authors: Bassino, Jean‐Pascal, Lagoarde‐Segot, Thomas
Format: Article
Language:English
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Summary:This article relies on a unique dataset of daily price indices for stocks and bonds to analyse the functioning of the T okyo S tock E xchange ( TSE ) in the period 1931–40. We find that this market deviated from weak‐form efficiency, in a context of cross‐market segmentation, short‐run spillovers, and turmoil surrounding major events. In this context, zaibatsu insiders were able to make abnormal returns via informed trading, while other uninformed investors could rely on technical rules to make abnormal profits. Such findings call for a micro‐level analysis of the interwar TSE corporate financing function.
ISSN:0013-0117
1468-0289
DOI:10.1111/ehr.12096