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; Keio University; Kenichi Hirayama, Tokio Marine Asset Management Co., Ltd.
Version: View help for Version V2
| Name | File Type | Size | Last Modified |
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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/E202402V2
Project Description
Summary:
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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:
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Japan Society for the Promotion of Science (19K13747; 23H00838);
Japan Science and Technology Agency (JPMJMS2215)
Scope of Project
Subject Terms:
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Adaptive Market Hypothesis;
Market Efficiency;
GLS-Based Time-Varying Model Approach;
Price Control Policy;
War Risk Premium
Geographic Coverage:
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Japan
Time Period(s):
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6/1926 – 4/1943
Data Type(s):
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aggregate data
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