Informational efficiency in the Tokyo Stock Exchange, 1931–40

Jean‐Pascal Bassino, Thomas Lagoarde‐Segot
Published Online:
23 Mar 2015
Volume/Issue No:
Volume 68 Issue 4

Additional Options

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.

© Economic History Society 2015

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