日本の商品先物市場の効率性

....2.. 1988 21 1

(Efficient Market H ypothesis:emh 1999 Divisia Index 1) 15 2) 1985 1 1995 12 2

1997 3) 1985 6 1986 11 1991 1 1993 1 0 1011 1990 100 4) 10 11 12 13 20 40 14 15 3

91.40076 176.46088 99.87063 7.34055 80.69975 14.63997 78.40000 40.92504 66.59351 103.50000 429.23541 138.99890-0.34815 0.63774-0.10222-1.03039-0.22126 0.22834 0.00140 0.00898-0.00079 ) (0.000142) (0.000776) (-0.000341) 0.42345 0.50346 0.03236 12 12 (IIP) 12 12 12 12 4

IIP(t-12) 0.72360-0.24712 IIP(t-11) 0.71508-0.27027 IIP(t-10) 0.69768-0.28523 IIP(t-9) 0.66976-0.31535 IIP(t-8) 0.65531-0.33739 IIP(t-7) 0.63341-0.35585 IIP(t-6) 0.60427-0.38564 IIP(t-5) 0.58414-0.40061 IIP(t-4) 0.56395-0.41969 IIP(t-3) 0.54090-0.44106 IIP(t-2) 0.52105-0.46372 IIP(t-1) 0.49889-0.48386 IIP(t) 0.47967-0.50261 IIP(t+1) 0.45836-0.51608 IIP(t+2) 0.43411-0.52849 IIP(t+3) 0.41888-0.54446 IIP(t+4) 0.39383-0.53678 IIP(t+5) 0.37215-0.54085 IIP(t+6) 0.36338-0.53965 IIP(t+7) 0.34131-0.53222 IIP(t+8) 0.31370-0.53306 IIP(t+9) 0.29935-0.51694 IIP(t+10) 0.28497-0.50608 IIP(t+11) 0.25079-0.48647 IIP(t+12) 0.23627-0.47237 5

EMH Fama1970 5) 6) Ft ESt+1It (1) Ft t (t+1) (futures price)st+1 (t+1) (spot price) It t (1) ESt+1It (t+1) unbiased predictor 7) Fama1970 (1) (2) (3) (1) (2) (3) 8) 1999 9) (t+1) t 6

St+1 a b Ft t (2) a0, b1 (2) 10) Hakkio and Rush1989 Hakkio and Rush London Metal ExchangeLME Chowdhury1991 (2) a0, b1 EMH EMH Hakkio and Rush1989 Hakkio and Rush EMH Granger1986 EMH Hakkio and Rush1989 (1) (2) EMH (1-1) 7

(1-2) (2-1) (2-2) (2-1) ( (3-1) Granger Engle and Granger1987 X Y X Y Error Correction Model:ECM Xt [Xt-1d Yt-1] Ytlagged (Ys and Xs) t (3-2) EMH 11) d1 0. EMH 12) (1) 40 Cotton Yarn (2) Woolen Yarn (3) Dried Cocoon (4) Raw Silk (5) Gold) (6) Platinum) (7) Silver) (1)(4) 1984 1 1995 12 144 (5)(7) 1991 4 12 8

1984 1 (5)(7) 1986 1 1995 12 120 1 3) 14) SPC FPC 0.45359kg. SPW FPW 1kg. SPMC FPMC 1kg. SPYS FPYS 1kg. SPG FPG g. SPP FPP g. SPS FPS 10g.. 1 12 t 15) t 9

t ) SPC FPC SPW FPW SPMC FPMC SPYS FPYS 0.624 0.752 0.045 0.103 0.003 0.275 0.235 0.016 0.329 0.473 0.601 0.223 0.432 0.027 0.109 0.195 0.336 0.078 0.118 0.407 0.297 0.392 0.212 0.173 0.394 0.235 0.642 0.309 0.021 0.322 0.253 0.132 0.053 0.108 0.489 0.562 0.346 0.125 0.559 0.333 0.093 0.130 0.465 0.491 0.623 0.385 0.738 0.531 0.427 0.179 0.053 0.146 0.380 0.424 0.111 0.697 0.194 0.295 0.473 0.433 0.494 0.250 0.164 0.091 0.012 0.296 0.624 0.499 0.036 0.416 0.165 0.168 10 0.132 0.172 0.747 0.500 0.411 0.039 0.649 0.339 11 0.098 0.206 0.230 0.671 0.450 0.511 0.560 0.877 12 0.229 0.144 0.233 0.140 0.265 0.421 0.678 0.786 10 11 12 SPG FPG SPP FPP SPS FPS 0.571 0.595 0.016 0.226 0.344 0.296 0.015 0.366 0.145 0.195 0.152 0.180 0.056 0.098 0.127 0.210 0.116 0.278 0.002 0.071 0.260 0.197 0.373 0.096 0.199 0.125 0.292 0.101 0.312 0.300 0.118 0.161 0.057 0.341 0.051 0.229 0.068 0.093 0.208 0.112 0.304 0.053 0.086 0.041 0.274 0.147 0.011 0.265 0.081 0.160 0.026 0.305 0.021 0.108 0.232 0.027 0.177 0.111 0.376 0.145 0.055 0.039 0.226 0.024 0.424 0.667 0.184 0.449 0.574 0.775 0.436 0.659. (Wtd. Sym. Augmented Dickey-Fuller ADF Phillips-Perron test (Phillips 16) Wtd. Sym. ADF I(1) 10

P-value Number of lags Wtd. Sym. -2.69635 0.18710 SPC ADF -3.06098 0.11582 Phillips -19.92519 0.07163 Wtd. Sym. -2.54800 0.26394 FPC ADF -3.07465 0.11239 Phillips -15.36284 0.17343 Wtd. Sym. -2.77898 0.15239 SPW ADF -2.64264 0.26066 Phillips -17.95841 0.10561 Wtd. Sym. -2.35331 0.39086 FPW ADF -2.28280 0.44349 Phillips -13.11621 0.26110 Wtd. Sym. -2.28247 0.44227 SPMC ADF -2.20221 0.48861 Phillips -10.27506 0.41790 Wtd. Sym. -2.27545 0.44745 FPMC ADF -2.20913 0.48471 Phillips -9.06175 0.50231 Wtd. Sym. -2.35522 0.38950 SPYS ADF -2.10573 0.54289 Phillips -10.59838 0.39717 Wtd. Sym. -2.35014 0.39312 FPYS ADF -2.09778 0.54734 Phillips -8.53997 0.54158 Wtd. Sym. -3.18716 0.05041 SPG ADF -2.97680 0.13868 Phillips -22.67945 0.04099 Wtd. Sym. -3.48975 0.02103 FPG ADF -3.31766 0.06340 Phillips -23.63574 0.03365 Wtd. Sym. -3.02227 0.07994 SPP ADF -2.88370 0.16790 Phillips -19.96345 0.07109 Wtd. Sym. -2.19941 0.50407 FPP ADF -3.18154 0.08814 Phillips -23.03925 0.03806 SPS Wtd. Sym. ADF Wtd. Sym. -2.87073 0.12024-2.62905 0.26670-29.29075 0.01018 11

Wtd.Sym. -2.90038 0.11117 FPS ADF -2.76043 0.21186 Phillips -22.84054 0.03965 P-value Number of lags Wtd. Sym. -7.83820 4.87-08 2 SPC ADF -7.70686 3.41-10 2 Phillips -145.00295 1.27-14 2 Wtd. Sym. -7.24222 2.89-07 2 FPC ADF -7.10093 8.37-09 2 Phillips -120.44173 4.78-12 2 Wtd. Sym. -7.10981 4.30-07 2 SPW ADF -6.98633 1.52-08 2 Phillips -199.51129 2.74-20 2 Wtd. Sym. -6.69601 1.48-06 3 FPW ADF -6.61924 1.01-07 3 Phillips -144.71407 1.37-14 3 Wtd. Sym. -5.11062 0.00017 6 SPMC ADF -4.99665 0.00021 6 Phillips -120.90193 4.25-12 6 Wtd. Sym. -6.32276 4.52-06 3 FPMC ADF -6.18893 8.73-07 3 Phillips -103.12767 3.11-10 3 Wtd. Sym. -7.62971 9.08-08 2 SPYS ADF -7.48413 1.11-09 2 Phillips -162.16633 2.03-16 2 Wtd. Sym. -6.54628 2.32-06 2 FPYS ADF -6.39897 3.07-07 2 Phillips -148.25094 5.77-15 2 Wtd. Sym. -6.41095 3.47-06 2 SPG ADF -6.28774 5.36-07 2 Phillips -132.46077 2.62-13 2 Wtd. Sym. -6.80912 1.06-06 2 FPG ADF -6.74187 5.39-08 2 Phillips -129.47337 5.39-13 2 12

Wtd. Sym. -6.46982 2.91-06 2 SPP ADF -6.49268 1.92-07 2 Phillips -139.89860 4.36-14 2 Wtd. Sym. -2.64672 0.21071 10 FPP ADF -3.35468 0.05775 10 Phillips -128.39806 6.99-13 10 Wtd. Sym. -4.91938 0.00030 4 SPS ADF -6.08296 1.47-06 3 Wtd. Sym. -138.49552 6.12D -14 3 Wtd.Sym. -5.60037 0.00004 2 FPS ADF -5.78800 6.06-06 2 Phillips -149.90909 3.91-15 2. (1-1)(1-2) Engle=Granger Johansen 13

Engle-Granger (tau) cointegration tests (1) SPC (2) SPW (1) FPC (2) FPW -3.21172-2.74299 P-value Num. lags 0.18100 0.38796 2 3-3.04507-2.36594 0.24463 0.59380 3 2 (1) SPMC (2) SPYS (1) FPMC (2) FPYS -3.83176-2.47017 P-value Num. lags 0.04378 0.53678 2 9-3.91992-3.53019 0.03442 0.09269 3 2 (1) SPG (2) SPP (1) FPG (2) FPP -3.19755-3.26126 P-value Num. lags 0.18592 0.16446 2 2-3.49660-3.12667 0.10006 0.21231 2 6 (1) SPG (2) SPS (1) FPG (2) FPS -3.05345-2.20188 P-value Num. lags 0.24117 0.67921 2 4-3.19731-2.65850 0.18600 0.43307 2 3 (1) SPP (2) SPS (1) FPP (2) FPS -2.42171-2.22066 P-value Num. lags 0.56345 0.66982 7 9-3.43905-1.99358 0.11372 0.77430 6 10 14

Johansen (trace) cointegration tests SPC, SPW FPC, FPW H 0 : r0 P-value H 0 : r1 P-value Num. lags 17.72534 0.05803 6.17309 0.01144 1 16.72602 0.08068 6.61969 0.00877 1 SPMC, SPYS FPMC, FPYS H 0 : r0 P-value H 0 : r1 P-value Num. lags 23.63622 0.00952 4.26881 0.03602 0 15.02330 0.13459 3.34261 0.06353 2 SPG, SPP FPG, FPP H 0 : r0 P-value H 0 : r1 P-value Num. lags 41.69337 0.00006 15.36540 0.00005 0 44.31550 0.00003 16.82627 0.00002 0 SPG, SPS FPG, FPS H 0 : r0 P-value H 0 : r1 P-value Num. lags 25.92729 0.00504 9.65963 0.00142 0 23.77964 0.00915 10.98248 0.00064 0 SPP, SPS FPP, FPS H 0 : r0 P-value H 0 : r1 P-value Num. lags 10.12045 0.46074 3.84494 0.04687 8 8.05986 0.64081 2.71280 0.09209 8 15

Engle=Granger Joh -ansen Engle=Granger 17). (2-1)(2-2) 9 10 9 Engle-Granger (tau) cointegration tests SPC FPC SPW FPW -5.81864 P-value Num. lags 0.00002 2-5.33446 0.00021 2-4.36059 0.00899 3-3.37875 0.12945 4 SPMC FPMC SPYS FPYS -4.41231 P-value Num. lags 0.00757 6-6.72201 2.17-07 2-6.05106 7.42-06 2-5.18757 0.00040 3 SPG FPG SPP FPP -4.74981 P-value Num. lags 0.00228 3-5.52415 0.00009 2-3.92096 0.03432 4-4.54592 0.00478 4 16

SPS FPS -4.37840 P-value Num. lags 0.00848 4-4.49646 0.00568 4 10 Johansen (trace) cointegration tests H 0 : r0 P-value H 0 : r1 P-value Num. lags 0.74765 0.96051 0.00000 0.63130 0 44.31910 0.00003 7.60211 0.00488 2 67.56020 4.43-08 5.03323 0.02202 1 65.24201 8.48-08 4.46359 0.03189 1 H 0 : r0 P-value H 0 : r1 P-value Num. lags 76.41197 3.72-09 8.89620 0.00225 1 24.31611 0.00789 7.83984 0.00423 10 66.29551 6.31-08 7.27293 0.00594 3 Engle=Granger Johansen Engle=Granger 11 18) 17

11 ) 1.04088 (0.04237) 0.92270 QSTAT 1 (P-value) 4.89418 (0.027) QSTAT 2 (P-value) 5.13240 (0.077) QSTAT 3 (P-value) 6.05567 (0.109) Jarque-Bera (P-value) 97.4767 (0.000) CUSUM (P-value) 0.42167 (0.857) CHOW (P-value) 2.06081 (0.108) ) 0.96357(0.02928) 0.91887 QSTAT 1 (P-value) 3.85226 (0.050) QSTAT 2 (P-value) 4.54394 (0.103) QSTAT 3 (P-value) 5.01680 (0.171) Jarque-Bera (P-value) 109.507 (0.000) CUSUM (P-value) 0.55953 (0.500) CHOW (P-value) 3.17142 (0.026) 0.98394 (0.04430) 0.90879 0.37002 (0.543) 6.73445 (0.034) 9.28196 (0.026) 1.59094 (0.451) 0.56585 (0.486) 0.62421 (0.601) 0.90425 (0.03185) 0.91226 0.11196 (0.738) 1.61010 (0.447) 1.83754 (0.607) 35.1930 (0.000) 0.55345 (0.514) 3.54235 (0.016) ) 0.84224 (0.05654) 0.84870 (0.04857) 0.95342 0.95012 QSTAT 1 (P-value) 0.67421 (0.412) 0.48141 (0.488) QSTAT 2 (P-value) 0.00579 (0.367) 9.90615 (0.007) QSTAT 3 (P-value) 0.03275 (0.566) 10.5385 (0.015) Jarque-Bera (P-value) 3.1911 (0.000) 110.917 (0.000) CUSUM (P-value) 0.75561 (0.181) 0.69582 (0.255) CHOW (P-value) 0.72110 (0.541) 3.00473 (0.033) ) 0.87339 (0.05670) 0.91396 QSTAT 1 (P-value) 0.63414 (0.426) QSTAT 2 (P-value) 0.92101 (0.631) QSTAT 3 (P-value) 4.37707 (0.224) Jarque-Bera (P-value) 3399.52 (0.000) CUSUM (P-value) 0.95912 (0.046) CHOW (P-value) 1.89823 (0.134) 18

1, 1.04088 1, 0.98394 1, 0.96357 EMH (2-2) 1, 0.90425 1, 0.84224 (1, 0.84870 1, 0.87339 EMH 18) FME 1, 1 Ljung=Box Q Ljung=Box Q Jarque-Bera CUSUM CHOW CUSUM CHOW Hansen 1992 Hansen FMEFully Modified Estimation 12 19) 19

12 FME 1.07056 ( ) (0.01823) Lc 0.47026 MeanF 6.71454 SupF 16.05410 1.06174 (0.01815) 0.28323 5.80358 24.71706 1.00747 (0.01771) 0.54624 10.03516 64.57207 0.95627 (0.01472) 1.32416 99.34713 539.41034 0.99309 ( ) (0.00866) Lc 0.49956 MeanF 24.82476 SupF 67.00809 1.00531 1.00798 (0.00881) (0.01110) 3.44530 4.95588 244.74150 168.68335 546.87012 276.41228 1, 1 Lc SupF FME 1, 1 d1 FME. (3-1)(3-2) EMH SPi(t+1) ECi(t) FPi(t) 1jSPi(t-j) 2kFPi(t-k) (t) ( ic, W, MC, YS, G, P, S) SPi(t+1)SPi(t+1)SPi(t) FPi(t)FPi(t)FPi(t-1) ECi(t) ECi(t)SPi(t)dFPi(t-1) d1 20

AIC Hakkio and Rush1989 Crowder and Hamed 1993 AIC AIC AIC 13 ECM Ljung=Box Q EMH 20) 21

13 ECM with d=1) ) -0.90681 (0.12136) ) 1.20243 (0.15022) 0.32607 QSTAT1 (P-value) 0.03793 (0.846) QSTAT2 (P-value) 0.16507 (0.921) QSTAT3 (P-value) 1.55885 (0.669) Jarque-Bera (P-value) 17.9401 (0.000) CUSUM (P-value) 0.70203 (0.247) CHOW (P-value) 0.35018 (0.789) -0.86663 (0.12525) 0.95533 (0.15155) 0.29574 0.01281 (0.910) 0.13803 (0.933) 0.14001 (0.987) 3.01202 (0.222) 0.44951 (0.778) 1.63786 (0.154) ) -0.88980 (0.16565) ) 1.09320 (0.18355) 0.19161 QSTAT1 (P-value) 0.06806 (0.794) QSTAT2 (P-value) 0.88182 (0.643) QSTAT3 (P-value) 1.05920 (0.787) Jarque-Bera (P-value) 112.106 (0.000) CUSUM (P-value) 0.56443 (0.490) CHOW (P-value) 3.52083 (0.017) ) -0.23903 (0.36192) ) 0.76986 (0.25400) 0.08913 QSTAT1 (P-value) 0.07272 (0.787) QSTAT2 (P-value) 0.90924 (0.956) QSTAT3 (P-value) 0.64198 (0.887) Jarque-Bera (P-value) 45.5856 (0.000) CUSUM (P-value) 0.45566 (0.761) CHOW (P-value) 0.23564 (0.918) -0.89072(0.26081) 0.88642 (0.29434) 0.06654 0.00346 (0.953) 0.99839 (0.607) 1.06406 (0.786) 35.5337 (0.000) 0.41468 (0.878) 2.02443 (0.113) -0.94992 (0.22679) 0.82366 (0.20911) 0.12444 0.00009 (0.992) 0.85130 (0.653) 1.02475 (0.795) 240.856 (0.000) 0.80196 (0.137) 0.59277 (0.669) ) -1.33910 (0.24833) ) 1.22449 (0.26313) 0.19087 QSTAT1 (P-value) 0.00051 (0.982) QSTAT2 (P-value) 0.18943 (0.910) QSTAT3 (P-value) 1.44435 (0.695) Jarque-Bera (P-value) 2966.80 (0.000) CUSUM (P-value) 0.88417 (0.079) CHOW (P-value) 0.87537 (0.456) 22

14 F with d=1) 2.826 3.405 1.711 0.424 1.698 2.015 1.610 F 21) F 14 22) F F0.01(1 2) F F0.01(1, 2) 1 EMH Engle=Granger Johansen EMH EMH EMH EMH 23) EMH 19981999 23

1-2 EMH Chowdhury1991Krehbiel and Adkins1993Cr owder and Hamed1993Beck1994AultonEnnew and Rayner1997 EMH 1998 1) 1984 1996 2) 3) 1997 4) 1997 4 1998 10 1997 10 5) Fama1970p.383 1987 24

1990 EMH 1999 EMH 6) Beck1994p.249 7) 1988p.266Hakkio and Rush1989 1999 8) Fama1991 9) 1998 Chicago Board of TradeCBOT EMH CBOT 10) Beck1994p.249 11) St+1St StFt-1 FtFt-1 t (2) a0b1 t 12) 4) 13) 14) 1997 1998 15) 21 16) Number of lags Augmenting lags AIC AIC 17) Hakkio and Rush1989 18) 25

19) TSP FME GAUSS 20) FME 21) ECM 1 1d1 SPi(t+1) SPi(t+1) ECi(t) FPi(t) 2 RSS0 ECM RSS1 F 1 2 F RSS0RSS1) 1 F RSS1 2 1 2 RSS1 22) 23) d1 () Aulton, A. J., C. T. Ennew and A. J. Rayner1997 Efficiency Tests of Futu -es Markets for UK Agricultural Commodities," Journal of Agricultural Economics, Vol.48, No.3, pp.408-424. () Beck, S. E.1994 Cointegration and Market Efficiency in Commodities Futu -res Markets," Applied Economics, Vol.26, pp.249-257. () Chowdhury, A. R.1991 Futures Market Efficiency:Evidence from Cointeg -ration Tests," The Journal of Futures Markets, Vol.11, No.5, pp.577-589. () Crowder, W. J. and A. Hamed1993 A Cointegration Test for Oil Futures Market Efficiency," The Journal of Futures Markets, Vol.13, No.8, pp.933-941. () Engle, R. F. and C. W. J. Granger1987 Cointegration and Error Correct -ion:representation, Estimation and Testing," Econometrica, Vol.55, No.2, pp.25 1-276. () Fama, E. F.1970 Efficient Capital Market:A Review of Theory and Empir -ical Work," Journal of Finance, Vol.25, No.2, pp.213-228. 26

() Fama, E. F. 1991 Efficient Capital Market:," Journal of Finance, Vol.46, No.5, pp.1575-1617. () Granger, C. W. J.1986 Developments in the Study of Cointegrated Econo- mic Variables," Oxford Bulletin of Economics and Statistics, Vol.48, pp.213-228. () Ghysels, E. and P. Perron1993 The Effect of Seasonal Adjustment Filte- rs on Test for a Unit Root," Journal of Econometrics, Vol.55, pp.57-98. (10) Hakkio, C. S. and M. Rush1989 Market Efficiency and Cointegration:An Application to the Sterling and Deutschemark Exchange Markets," Journal of International Money and Finance, Vol.8, No.1, pp.75-88. (11) Hansen, B. E.1992 Tests for Parameter Instability in Regressions with I (1) Process," Journal of Business and Economic Statistics, Vol.1 0, No.3, pp.321-335. (12) Johansen, S.1988 Statistical Analysis of Cointegration Vectors," Journ- al of Economic Dynamics and Control, Vol.12, No.2/3, pp.231-254. (13) Krehbiel, T. and L. C. Adkins1993 Cointegration Tests of the Unbiased Expectations Hypothesis in Metal Markets," The Journal of Futures Markets, Vol.13, No.7, pp.753-763. (14) 1987 (15) 1999 ( ) 147-192 (16) 1984Divisia Monetary Aggregate ) 13-39 (17) 1996 (18) 1997 (19) 1998 ) 50 23-42 (20) 1999 ) 50 185-214 (21) 1999 (22) 1998 1998 (23) 1994 29 89-107 (24) 1990 27

(25) 1997 (26) 1988 28