2 papers
q-fin.ST2020
Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model
Kenichi Hirayama, Akihiko Noda
This paper explores when the financial market lost the price formation function in prewar Japan in the sense of Fama's (1970) semi-strong form market efficiency using a new dataset…
q-fin.ST2019
Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924-1943
Kenichi Hirayama, Akihiko Noda
This study explores the time-varying structure of market efficiency in the prewar and wartime Japanese stock market using a new market capitalization-weighted stock price index, th…