Informational Efficiency in the Tokyo Stock Exchange, 1931–40

24 Pages Posted: 15 Oct 2015

See all articles by Jean-Pascal Bassino

Jean-Pascal Bassino

Ecole Normale Supérieure (ENS) de Lyon; Lyons Institute of East Asian Studies

Thomas Lagoarde‐Segot

Kedge Business School

Date Written: November 2015

Abstract

This article relies on a unique dataset of daily price indices for stocks and bonds to analyse the functioning of the Tokyo Stock Exchange (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.

Suggested Citation

Bassino, Jean-Pascal and Lagoarde‐Segot, Thomas, Informational Efficiency in the Tokyo Stock Exchange, 1931–40 (November 2015). The Economic History Review, Vol. 68, Issue 4, pp. 1226-1249, 2015, Available at SSRN: https://ssrn.com/abstract=2674354 or http://dx.doi.org/10.1111/ehr.12096

Jean-Pascal Bassino (Contact Author)

Ecole Normale Supérieure (ENS) de Lyon ( email )

15, parvis Rene Descartes BP 7000
Lyon Cedex 07, 69342
France

Lyons Institute of East Asian Studies ( email )

15 Parvis René Descartes, BP 7000
Lyon, Cedex 69342
France

Thomas Lagoarde‐Segot

Kedge Business School

Domaine de Luminy - BP 921
BP 921
Marseille, PACA 13288
France

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