University of Cambridge > > Financial History Seminar > Efficiency of the Dojima rice futures market in Tokugawa-period Japan

Efficiency of the Dojima rice futures market in Tokugawa-period Japan

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If you have a question about this talk, please contact D'Maris Coffman.

Cointegration analysis is applied to historical data (1760-1864) from the world’s first well-established futures market, in rice at Dojima (in Osaka, Japan). The market shows a strong seasonal character. The summer market was strongly characterized by producers’ hedging behavior, and may be called a “commodity-oriented futures market.” On the other hand, the spring and autumn markets in the middle of Tokugawa era were “financial” markets, characterized by the unbiasedness hypothesis from the theory of rational expectations.

There will be drinks reception and a seated dinner afterwards. Interested parties should contact ddc22.

This talk is part of the Financial History Seminar series.

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