The Formation of an Efficient Market in Tokugawa Japan


The first modern futures market is said to date back to the Chicago Board of Trade established in 1848. However, an earlier precedent is the Dojima rice market established in 1730 in Osaka. The existing literature makes it clear that the Dojima rice market had well-established trading systems. However, an unanswered fundamental question is whether the market was efficient. In this paper, we first construct a daily price index from the historical document, and then test both the unbiasedness hypothesis and the weak-form efficiency. We show that this type of efficiency existed in this market.


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