An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era

The Dojima Rice Market in Osaka was the first futures market in the world, and an influential role model for modern futures markets. This study examines the efficiency of the original futures market by applying time‐series analysis to data on futures prices from Japan's Tokugawa era (1603–1867). The results of cointegration tests indicate that the futures market functioned efficiently during the first sample period (1763–1780), but its efficiency declined during the second sample period (1851–1864). © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:861–874, 2001