英文标题：
《The Futures Premium and Rice Market Efficiency in Prewar Japan》
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作者：
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
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最新提交年份：
2017
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英文摘要：
This paper studies the interrelation between spot and futures prices in the two major rice markets in prewar Japan from the perspective of market efficiency. Applying a non-Bayesian time-varying model approach to the fundamental equation for spot returns and the futures premium, we detect when efficiency reductions in the two major rice markets occurred. We also examine how government interventions affected the rice markets in Japan, which colonized Taiwan and Korea before World War II, and argue that the function of rice futures markets crucially depended on the differences in rice spot market\'s structure. The increased volume of imported rice of a different variety from domestic rice first disrupted the rice futures. Then, government intervention in the rice futures markets failed to improve the disruption. Changes in colonial rice cropping successfully improved the disruption, and colonial rice was promoted to unify the different varieties of inland and colonial rice.
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中文摘要：
本文从市场效率的角度研究了战前日本两大大米市场的现货和期货价格之间的相互关系。将非贝叶斯时变模型方法应用于现货收益和期货溢价的基本方程，我们检测了两个主要大米市场何时出现效率降低。我们还研究了ZF干预对日本大米市场的影响，认为大米期货市场的功能在很大程度上取决于大米现货市场结构的差异。与国产大米不同品种的进口大米数量的增加首先扰乱了大米期货。然后，ZF对大米期货市场的干预未能改善这种破坏。殖民地水稻种植的变化成功地改善了破坏，殖民地水稻被推广到统一内陆和殖民地水稻的不同品种。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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