The Dojima Rice Market in Osaka was the first futures market in the world, and an influential role model for modern futures markets. This study examines the efficiency of the original futures market by applying time‐series analysis to data on futures prices from Japan's Tokugawa era...

Although many studies have investigated market efficiency of spot and futures prices, that among futures with different maturities has not been studied extensively. In this study, market efficiency and unbiasedness among such futures are defined and the concept of “consistently efficient (or...

(GEM) based on the dynamic equicorrelation of trading volume and stock returns. We find that the hot IPO effect ends after two years with the imbalance between demand and supply for GEM stock relieved, which indicates that the rational learning process requires almost two years for most...

This paper constructs panel data from an 11-year data set on all 47 prefectures of Japan, covering the period 1996-2006 . We use this data set to analyze the factors affecting photovoltaic (PV) system diffusion. Our empirical results show that the regional government policy clearly helps to...

Using the 2004 and 2006 pooling data from the China Health and Nutrition Survey (CHNS) questionnaire, this paper studies the differences between male and female employment in urban China, taking into account the interdependence between the decision of women to participate in the workforce and...

The study analyses the interdependent relationships of business cycles among four major countries using LA-VAR methods. The results are compared with results obtained using a standard VAR model. For the total sample (1962-1995), it is found that the economies of individual countries move...

The presence of seasonal integration in Japanese macro data is tested. The targeted variables are real values and deflators for GDP, consumption, investment, government expenditure, exports, and imports. First, with respect to seasonality, an entirely different conclusion is obtained for the...

The stability of the Japanese money demand function is empirically analysed employing the notion of seasonal cointegration. It is found that money balances, interest rates, and real GDP have unit roots in different cycles. The seasonal cointegration tests reveals that seasonal cointegration is...

This alternative method of analysis applies the generalized method of moments developed by Hansen to the conditional restrictions implied by the Fisher effect. This approach has some advantages, i.e. it is robust to the non-normality of the error term, it is unnecessary to formulate the expected...

This article employs the lag-augmented VAR (LA-VAR) approach developed by Toda and Yamamoto (1995) to analyze the transmission of stock indices among the European PIIGS (Portugal, Ireland, Italy, Greece and Spain), Germany and the UK before and during the European sovereign debt crisis. The...