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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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| Published in: | The Economic history review 2015-11, Vol.68 (4), p.1226-1249 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
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| cites | cdi_FETCH-LOGICAL-c746-d1c0dc77409d35d023fddcea7a201b4bf1b1aee26ec53a73578e005eafc027d23 |
| container_end_page | 1249 |
| container_issue | 4 |
| container_start_page | 1226 |
| container_title | The Economic history review |
| container_volume | 68 |
| creator | Bassino, Jean‐Pascal Lagoarde‐Segot, Thomas |
| description | 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. |
| doi_str_mv | 10.1111/ehr.12096 |
| format | article |
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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
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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
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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.</abstract><doi>10.1111/ehr.12096</doi><tpages>24</tpages></addata></record> |
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| ispartof | The Economic history review, 2015-11, Vol.68 (4), p.1226-1249 |
| issn | 0013-0117 1468-0289 |
| language | eng |
| recordid | cdi_crossref_primary_10_1111_ehr_12096 |
| source | Business Source Ultimate; JSTOR Archival Journals and Primary Sources Collection; EconLit with Full Text; Wiley-Blackwell Read & Publish Collection |
| title | Informational efficiency in the T okyo S tock E xchange, 1931–40 |
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