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Replication files for "Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924–1943"

Principal Investigator(s):  View help for Principal Investigator(s) Akihiko Noda, Meiji University; Kenichi Hirayama, Tokio Marine Asset Management Co., Ltd.

Version:  View help for Version V1

Name File Type Size Last Modified
replication.zip application/zip 44.1 KB 05/08/2024 08:39:PM

Project Citation: 

Noda, Akihiko, and Hirayama, Kenichi. Replication files for “Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924–1943.” Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-05-09. https://doi.org/10.3886/E202402V1

Project Description

Summary:  View help for Summary This repository stores replication files for "Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924–1943," recently accepted by the Asia-Pacific Economic History Review.
Funding Sources:  View help for Funding Sources Japan Society for the Promotion of Science (19K13747; 23H00838); Japan Science and Technology Agency (JPMJMS2215)

Scope of Project

Subject Terms:  View help for Subject Terms Adaptive Market Hypothesis; Market Efficiency; GLS-Based Time-Varying Model Approach; Price Control Policy; War Risk Premium
Geographic Coverage:  View help for Geographic Coverage Japan
Time Period(s):  View help for Time Period(s) 6/1926 – 4/1943
Data Type(s):  View help for Data Type(s) aggregate data


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V2 [2024-05-09]

V1 [2024-05-09]

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