Organization
Undergraduate School School of Commerce Professor
Title
Professor
Homepage
External link
NODA AKIHIKO
Scopus Paper Info
Paper Count: 13 Citation Count: 290 h-index: 5
Google Scholar Information (Citations per year)
Degree
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Ph.D in Business and Commerce ( 2012.1 Keio University )
Research Interests
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Time Series Analysis
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State Space Model
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Efficient Market Hypothesis
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Adaptive Market Hypothesis
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Financial Econometrics
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Finite Population
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Market Efficiency
Research Areas
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Humanities & social sciences / Economic statistics
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Humanities & social sciences / Money and finance
Research History
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Meiji University School of Commerce Professor
2023.4
Country/Region：Japan
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Meiji University School of Commerce Associate Professor
2021.4 - 2023.3
Country/Region：Japan
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Kyoto Sangyo University Faculty of Economics Associate Professor
2015.4 - 2021.3
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Wakayama University Graduate School of Economics Associate Professor
2014.4 - 2015.3
Country/Region：Japan
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Wakayama University Faculty of Economics Lecturer Assistant Professor
2012.4 - 2014.3
Country/Region：Japan
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Toyo University Faculty of Economics Assistant Professor
2011.4 - 2012.3
Country/Region：Japan
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Keio University Keio Advanced Research Centers Researher Postdoc Research Associate
2010.4 - 2011.3
Country/Region：Japan
Professional Memberships
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Japan Society of Monetary Economics
2020.9
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Socio-Economic History Society
2014.9
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Society for American Baseball Research
2014.1
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Western Economic Association International
2012.1
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Econometric Society
2010.1
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Nippon Finance Association
2010.1
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Japanese Economic Association
2008.1
Committee Memberships
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Department of Economics and Finance, La Trobe School of Business, La Trobe University 博士論文外部審査員
2018.10 - 2019.1
Committee type：Academic society
Papers
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Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models International journal
Koichiro Moriya, Akihiko Noda
Econometrics Papers (arXiv.org) 2026.1
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An Alternative Estimation Method for Time-Varying Parameter Models Reviewed
Mikio Ito, Akihiko Noda, Tatsuma Wada
Econometrics 10 ( 2 ) 23 - 23 2022.4
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The Futures Premium and Rice Market Efficiency in Prewar Japan Reviewed
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
Economic History Review 71 ( 3 ) 909 - 937 2018.8
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A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan Reviewed
Akihiko Noda
Finance Research Letters 17 66 - 71 2016.5
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Economic Growth, Financial Constraints, and the Evolution of Financial Market Efficiency in Japan, 1924-2024
Kenichi Hirayama, Keiichi Morimoto, Akihiko Noda
SSRN Electronic Journal 2026.2
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Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Market, 1924–1943 Reviewed
Kenichi Hirayama, Akihiko Noda
Asia-Pacific Economic History Review 65 ( 1 ) 131 - 159 2025.3
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On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices International journal
Koichiro Moriya, Akihiko Noda
Statistical Finance Papers (arXiv.org) 2023.5
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Time Instability of the Fama-French Multifactor Models: An International Evidence International journal
Koichiro Moriya, Akihiko Noda
Quantitative Finance Papers (arXiv.org) 2022.8
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Examining the Dynamic Asset Market Linkages under the COVID-19 Global Pandemic Reviewed International journal
Akihiko Noda
Economics Bulletin 42 ( 2 ) 653 - 661 2022.3
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Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach Reviewed
Mikio Ito, Akihiko Noda, Tatsuma Wada
Mathematics 9 ( 8 ) 849 - 849 2021.4
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On the Time-Varying Market Efficiency of Cryptocurrencies Reviewed International journal
Akihiko Noda
Applied Economics Letters 28 ( 6 ) 433 - 439 2021.3
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Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model
Kenichi Hirayama, Akihiko Noda
arXiv:2008.00860 2020.8
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Measuring the Time-Varying Efficiency of the Prewar Japanese Stock Market
Kenichi Hirayama, Akihiko Noda
arXiv:1911.04059 2019.11
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Discretion versus Policy Rules in Commodity Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939 International journal
Miko Ito, Kiyotaka Maeda, Akihiko Noda
Quantitative Finance Papers (arXiv.org) 2017.4
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Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets Reviewed
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
Financial History Review 23 ( 3 ) 325 - 346 2016.12
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Market Integration in Japanese Rice Markets, 1880–1932 International journal
Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
Quantitative Finance Papers (arXiv.org) 2016.4
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The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach Reviewed
Mikio Ito, Akihiko Noda, Tatsuma Wada
Applied Economics 48 ( 7 ) 621 - 635 2016.2
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International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach Reviewed
Mikio Ito, Akihiko Noda, Tatsuma Wada
Applied Economics 46 ( 23 ) 2744 - 2754 2014.8
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日本の株式市場における市場効率性の時変構造
野田顕彦
経済学論叢 65 ( 4 ) 997 - 1012 2014.3
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A Survey on the Estimation of CCAPMs via Moment Restrictions: The Case of Japan Reviewed
Akihiko Noda
Keio Economic Studies 49 69 - 91 2013
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The GEL Estimates Resolve the Risk-free Rate Puzzle in Japan Reviewed
Mikio Ito, Akihiko Noda
Applied Financial Economics 22 ( 5 ) 365 - 374 2012.3
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Testing the "Catching up with the Joneses" Model with Consumption Externality: Some Evidence from Japan Reviewed
Akihiko Noda
Economics Bulletin 31 ( 2 ) 1648 - 1658 2011
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Measuring the Intertemporal Elasticity of Substitution for Consumption: Some Evidence from Japan Reviewed
Akihiko Noda and Shunsuke Sugiyama
Economics Bulletin 30 ( 1 ) 524 - 533 2010
Books
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喫煙習慣のパネル分析：合理的依存症モデルの検証 Reviewed
上村一樹, 野田顕彦（ Role： Joint author第4章）
慶應義塾大学出版会 2011.6
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家計の借入行動と景気変動 Reviewed
野田顕彦・上村一樹（ Role： Joint author第7章）
慶應義塾大学出版会 2010.6
Presentations
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Finite-Sample Properties of Model Specification Tests under Latent Dependence Structures in Multivariate Linear Regression
Koichiro Moriya, Akihiko Noda
Western Economic Association International 100th Annual Conference 2025.6
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Forecasting Cryptocurrency Returns with a Sparse Dynamic Factor Model International conference
Akihiko Noda and Tatsuma Wada
The 18th International Joint Conference CFE-CMStatistics 2024.12 Computational and Financial Econometrics and Computational and Methodological Statistics
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Forecasting Cryptocurrency Returns with a Sparse Dynamic Factor Model International conference
Akihiko Noda and Tatsuma Wada
Midwest Econometric Group 2024 Meeting 2024.11 Midwest Econometric Group
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A GLS-based Wald Test for Portfolio Efficiency under Serial Correlation
Koichiro Moriya and Akihiko Noda
日本金融学会2024年度秋季大会 2024.10 日本金融学会
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A GLS-based Wald Test for Portfolio Efficiency under Serial Correlation International conference
Koichiro Moriya and Akihiko Noda
Western Economic Association International 99th Annual Conference 2024.7 Western Economic Association International
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On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
Koichiro Moriya and Akihiko Noda
日本金融学会2023年度秋季大会 2023.9 日本金融学会
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On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices International conference
Koichiro Moriya and Akihiko Noda
Western Economic Association International 98th Annual Conference 2023.7 Western Economic Association International
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Finite-Sample Properties of Model Specification Tests under Latent Dependence Structures in Multivariate Linear Regression
Koichiro Moriya, Akihiko Noda
2025.11
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How Many Miles to the Battlefield?: Zaibatsu and Market Inefficiency in the Wartime Japanese Stock Market, 1930–1943
Akihiko Noda, Takenobu Yuki
2025.11
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Time Instability of the Fama-French Multifactor Models: An International Evidence
Koichiro Moriya and Akihiko Noda
日本経済学会2024年度秋季大会 2024.10 日本経済学会
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Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model
Kenichi Hirayama, Akihiko Noda
日本経済学会2022年度秋季大会 2022.10 日本経済学会
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Estimating the Time-Varying Structure of the Fama-French Multi-Factor Models International conference
Akihiko Noda
Western Economic Association International 97th Annual Conference 2022.7 Western Economic Association International
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Measuring the Time-Varying Market Efficiency in Prewar Japanese Stock Markets
Kenichi Hirayama, Akihiko Noda
2021.10
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Measuring the Time-Varying Efficiency of the Prewar Japanese Stock Market
Kenichi Hirayama and Akihiko Noda
日本金融学会2021年度秋季大会 2021.10 日本金融学会
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Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model International conference
Western Economic Association International 96th Annual Conference 2021.7
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Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model International conference
Kenichi Hirayama, Akihiko Noda
Western Economic Association International 96th Annual Conference 2021.6 Western Economic Association International
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Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model
Kenichi Hirayama and Akihiko Noda
日本金融学会2020年度秋季大会 2020.11 日本金融学会
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Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model,
Kenichi Hirayama, Akihiko Noda
2020.11
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On the Time-Varying Efficiency of Cryptocurrency Markets International conference
Akihiko Noda
Western Economic Association International 94th Annual Conference 2019.6 Western Economic Association International
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On the Time-Varying Efficiency of Cryptocurrency Markets, International conference
Western Economic Association International 94th Annual Conference 2019.6 Western Economic Association International
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Discretion versus Policy Rules in Commodity Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
日本経済学会2018年度秋季大会 2018.9
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An Alternative Estimation for Time-Varying Parameter Models International conference
Mikio Ito, Akihiko Noda, and Tatsuma Wada
The 2nd International Conference on Econometrics and Statistics 2018.6 The Hong Kong University of Science and Technology
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Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939 International conference
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
World Economic History Congress 2018 2018.6
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Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939 International conference
Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
World Economic History Congress 2018 2018.6 Western Economic Association International
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An Alternative Estimation of A Time-Varying Parameter Model International conference
Mikio Ito, Akihiko Noda, Tatsuma Wada
The 2nd International Conference on Econometrics and Statistics 2018.6 The Hong Kong University of Science and Technology
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Market Efficiency and Price Stabilization Policy in Interwar Osaka-Dojima Rice Exchange
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
日本経済学会2017年度秋季大会 2017.9 日本経済学会
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Market Efficiency and Price Stabilization Policy in Interwar Osaka-Dojima Rice Exchange International conference
Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
Western Economic Association International 92nd Annual Conference 2017.6 Western Economic Association International
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An Alternative Estimation for Time-Varying Parameter Models International conference
Mikio Ito, Akihiko Noda, and Tatsuma Wada
Western Economic Association International 92nd Annual Conference 2017.6 Western Economic Association International
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An Alternative Estimation of A Time-Varying Parameter Model International conference
Mikio Ito, Akihiko Noda, Tatsuma Wada
Western Economic Association International 92nd Annual Conference 2017.6 Western Economic Association International
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An Alternative Estimation of A Time-Varying Parameter Model International conference
Mikio Ito, Akihiko Noda, Tatsuma Wada
The 1st International Conference on Econometrics and Statistics 2017.6 The Hong Kong University of Science and Technology
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An Alternative Estimation for Time-Varying Parameter Models International conference
Mikio Ito, Akihiko Noda, and Tatsuma Wada
The 1st International Conference on Econometrics and Statistics 2017.6 The Hong Kong University of Science and Technology
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Time-Varying Comovement of Foreign Exchange Markets International conference
Mikio Ito, Akihiko Noda, and Tatsuma Wada
Western Economic Association International 92nd Annual Conference 2017.6 Western Economic Association International
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Market Integration in the Prewar Japanese Rice Markets International conference
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
The 2nd International Conference on Economic History 2017.6 Kyoto Sangyo University
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戦間期大阪堂島米穀取引所における先物市場の 価格形成と米穀政策
伊藤幹夫・前田廉孝・野田顕彦
社会経済史学会第86回全国大会 2017.5 社会経済史学会
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Market Integration in the Prewar Japanese Rice Markets International conference
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
The 1st International Conference on Economic History 2017.2 Keimyung University
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Time-Varying Comovement of Foreign Exchange Markets International conference
Mikio Ito, Akihiko Noda, and Tatsuma Wada
Midwest Econometrics Group 26th Annual Meeting 2016.10 Midwest Econometrics Group
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Market Integration in the Prewar Japanese Rice Markets
Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
日本経済学会2016年度秋季大会 2016.9 日本経済学会
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Time-Varying Comovement of Foreign Exchange Markets International conference
Mikio Ito, Akihiko Noda, and Tatsuma Wada
Western Economic Association International 91st Annual Conference 2016.6 Western Economic Association International
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Market Integration in the Prewar Japanese Rice Markets International conference
Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
Western Economic Association International 91st Annual Conference 2016.6 Western Economic Association International
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戦前期日本における東京・大阪米穀市場の統合 過程：電信電話網の利用拡大と関連を中心に
伊藤幹夫・前田廉孝・野田顕彦
社会経済史学会第85回全国大会 2016.6 社会経済史学会
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The Futures Premium and Rice Market Efficiency in Prewar Japan
Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
日本経済学会2015年度秋季大会 2015.10 日本経済学会
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The Futures Premium and Rice Market Efficiency in Prewar Japan International conference
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
Western Economic Association International 90th Annual Conference 2015.7 Western Economic Association International
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戦前期日本における米穀先物市場の統合と情報 効率性：東京米穀商品取引所・大阪堂島米 穀取引所を中心に
伊藤幹夫・前田廉孝・野田顕彦
社会経済史学会第84回全国大会 2015.5 社会経済史学会
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The Futures Premium and Rice Market Efficiency in Prewar Japan
Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
日本経済学会2014年度秋季大会 2014.10 日本経済学会
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戦前期商品先物市場における先物プレミアムと効率性：東京・大阪堂島米穀取引所を事例に
伊藤幹夫, 前田廉孝, 野田顕彦
政治経済学･経済史学会2014年度秋季学術大会 2014.10 政治経済学･経済史学会
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Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets International conference
Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
Western Economic Association International 89th Annual Conference 2014.7 Western Economic Association International
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Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
日本経済学会2014年度春季大会 2014.6 日本経済学会
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International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach International conference
Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
日本経済学会2013年度秋季大会 2013.9 日本経済学会
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International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach International conference
Mikio Ito, Akihiko Noda, Tatsuma Wada
Western Economic Association International 88th Annual Conference 2013.6 Western Economic Association International
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International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach International conference
Mikio Ito, Akihiko Noda, and Tatsuma Wada
Western Economic Association International 10th Biennial Pacific Rim Conference 2013.3 Western Economic Association International
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International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
Mikio Ito, Akihiko Noda, and Tatsuma Wada
日本経済学会2012年度秋季大会 2012.10 日本経済学会
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The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach International conference
Mikio Ito, Akihiko Noda, and Tatsuma Wada
Western Economic Association International 87th Annual Conference 2012.6 Western Economic Association International
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The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach
Mikio Ito, Akihiko Noda, and Tatsuma Wada
日本ファイナンス学会第19回大会 2012.5 日本ファイナンス学会
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CCAPM with Time-Varying Parameters: Some Evidence from Japan
Mikio Ito and Akihiko Noda
日本経済学会2011年度秋季大会 2011.10 日本経済学会
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CCAPM with Time-Varying Parameters: Some Evidence from Japan
Mikio Ito and Akihiko Noda
日本ファイナンス学会第18回大会 2011.5 日本ファイナンス学会
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The GEL Estimates Resolve the Risk-free Rate Puzzle in Japan
Mikio Ito and Akihiko Noda
日本ファイナンス学会第17回大会 2010.5 日本ファイナンス学会
Awards
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大銀協フォーラム奨励賞
2017.2 大阪銀行協会
野田顕彦, 前田廉孝
Research Projects
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Comprehensive Studies on the Pricing Mechanism in the Prewar Japanese Stock Market
Grant number：23K25535 2023.4 - 2028.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (B)
Authorship：Principal investigator
Grant amount：\17030000 （ Direct Cost: \13100000 、 Indirect Cost：\3930000 ）
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A Study on the Relationship between Time-Varying Structure of Anomalies and Speculative Bubbles in International Stock Markets
Grant number：19K13747 2019.4 - 2023.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Early-Career Scientists Grant-in-Aid for Early-Career Scientists
Akihiko Noda
Authorship：Principal investigator
Grant amount：\4290000 （ Direct Cost: \3300000 、 Indirect Cost：\990000 ）
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Quantitative analysis on integration and price formation of Tokyo and Osaka stock markets before the Second World War
Grant number：18K01734 2018.4 - 2021.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C) Grant-in-Aid for Scientific Research (C)
Hanai Shunsuke
Authorship：Coinvestigator(s)
Grant amount：\4290000 （ Direct Cost: \3300000 、 Indirect Cost：\990000 ）
We analyze trade in the Japanese empire conducted on exchanges with a focus on stock exchanges through data on trading before the Second World War and draw three conclusions. First, market efficiency in stock futures markets varied over time from 1878 to 1943. Second, an asymmetric structure between the Tokyo Stock Exchange, which dealt mainly in long-term trading, and the Osaka Stock Exchange, which dealt mainly in short-term trading, was formed from the 1920s. Third, rice futures trading in Korea was enlarged after the late 1930s due to the strengthening of the metropole’s controlled economy.
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近代東アジア米穀市場における情報効率性と統合過程:大阪，台北，仁川，上海を中心に
2018.4 - 2019.3
京都産業大学総合学術研究所 特定課題研究
Authorship：Principal investigator Grant type：Competitive
Grant amount：\1000000 （ Direct Cost: \1000000 ）
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時変計量経済モデルを用いた戦前期日本株式市場の時変構造に関する研究
2018.1 - 2019.12
村田学術振興財団研究助成
Authorship：Principal investigator Grant type：Competitive
Grant amount：\1900000 （ Direct Cost: \1900000 ）
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Price formation and market management in commodity exchanges after World War I: Empirical research by using the Dojima Kome Shijo Monjo
Grant number：17K03863 2017.4 - 2020.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C)
Maeda Kiyotaka
Authorship：Coinvestigator(s)
Grant amount：\4420000 （ Direct Cost: \3400000 、 Indirect Cost：\1020000 ）
The functions and management of the Osaka-Dojima Rice Exchange were not stable after World War I, although it was the largest commodity exchange in Japan before World War II. The Japanese government enforced the Rice Law in 1921 and the Rice Control Law in 1933 to strengthen its intervention in the rice market, and the futures market tended not to form the adequate price serving as an index of the spot price. This fluctuation of the function caused a decrease in the trading volume, and business conditions of the exchange deteriorated because its commission income from rice futures trading declined. Accordingly, the exchange diversified its businesses by establishing forward market and expanding investment in securities and real estate.
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時変計量経済モデルを用いた為替レート予測に関する研究
2017.4 - 2020.3
日本学術振興会 基盤研究(C)
伊藤幹夫
Authorship：Coinvestigator(s) Grant type：Competitive
Grant amount：\5280000 （ Direct Cost: \4290000 、 Indirect Cost：\990000 ）
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A Study on Time-Varying Structure of Market Integration and Market Efficiency in Modern Period: The Case of Rice Markets in Japan and Colonized Korea
Grant number：15K03542 2015.4 - 2018.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C) Grant-in-Aid for Scientific Research (C)
NODA Akihiko, IOKU Shigehiko, ITO Mikio
Authorship：Principal investigator
Grant amount：\4550000 （ Direct Cost: \3500000 、 Indirect Cost：\1050000 ）
The purpose of this study is to examine how the efficiency and the integration speed of rice market in Japan increased before Second World War. Concretely, we employed time-varying econometric models using the monthly spot and futures prices in Tokyo and Osaka. We found the following four facts by featuring the time-varying nature of the efficiency and integration of the market. First, government interventions involving the delivery of imported rice from Taiwan and Korea often reduced futures market efficiency before First World War. Second, the government interventions did not reduce the market efficiency after the 1920s. Third, the market efficiency improved in accordance with reduction in the government’s discretionary power to operate the rice policy under the Beikoku Ho (the Rice Law) and the Beikoku Tousei Ho (the Rice Control Law). Fourth, the increasing use of telegraphs accelerated rice market integration until the end of the 1910s.
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A Study for the Time-Varying Structure of Foreign Exchange Markets using Non-Bayesian Time-Varying Econometric Models
Grant number：26380397 2014.4 - 2017.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C) Grant-in-Aid for Scientific Research (C)
Mikio Ito, Akihiko Noda, Tatsuma Wada
Authorship：Coinvestigator(s)
Grant amount：\4680000 （ Direct Cost: \3600000 、 Indirect Cost：\1080000 ）
The objective of this study is to elucidate what causes the futures premium puzzle (FPP), one of the famous longtime unsolved problems on interest parity of foreign exchange markets, with the help of non-Bayesian time-varying econometric models proposed by Ito et. al (2014). In particular, we first developed a non-Bayesian time-varying vector error correction model. We secondly examined the time-varying structure of co-movement among various exchange rates applying the model to data of foreign exchange markets. Then, we found that the above co-movement have varied over time for the past quarter-century and that it has been one of the cause of FPP.
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非ベイズ時変ベクトル自己回帰モデルの構築と金融市場の国際連関の検証
2013.1 - 2013.12
全国銀行学術研究振興財団学術研究助成
野田顕彦
Authorship：Principal investigator Grant type：Competitive
Grant amount：\850000 （ Direct Cost: \850000 ）
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Measuring the Time-Varying Efficiency and Market Linkages in Modern Japanese Rice Markets
Grant number：24530364 2012.4 - 2015.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C) Grant-in-Aid for Scientific Research (C)
NODA Akihiko, IOKU Shigehiko, MAEDA Kiyotaka, ITO Mikio
Authorship：Coinvestigator(s)
Grant amount：\5070000 （ Direct Cost: \3900000 、 Indirect Cost：\1170000 ）
The objective of this study is to examine the efficient market hypothesis for the rice futures market in prewar Japan. To attain the objective, we measured the relative market efficiency varying over time and attempted to clarify what varied the efficiency. In particular, we constructed long-run data of the rice market in the period and showed that the efficiency actually varied over time using a time-varying econometric model newly developed. Furthermore, examining the results together with primary historical materials, we finally demonstrated that the government-led import of rice to fill domestic demand reduced the efficiency of domestic rice market in prewar Japan and that the rice futures market failed to provide a proper index of physical rice price.
Teaching Experience
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証券市場論特論
2022.4 Institution：明治大学大学院商学研究科
Level：Postgraduate Country/Region：Japan
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証券市場論
2021.4 Institution：明治大学商学部
Level：Undergraduate (specialized)
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応用計量経済分析
2018.4 - 2021.3 Institution：京都産業大学経済学部
Level：Undergraduate (specialized)
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Advanced Econometrics
2017.4 - 2021.3 Institution：Graduate School of Economics, Kyoto Sangyo University
Level：Postgraduate
-
計量経済学
2015.4 - 2021.3 Institution：京都産業大学経済学部
Level：Undergraduate (specialized)
-
経済統計論
2015.4 - 2018.3 Institution：京都産業大学経済学部
Level：Undergraduate (specialized)
-
計量分析実習
2015.4 - 2018.3 Institution：京都産業大学経済学部
Level：Undergraduate (specialized)
-
計量ファイナンス特殊問題
2014.4 - 2015.3 Institution：和歌山大学大学院経済学研究科
Level：Postgraduate
-
エコノメトリクス
2014.4 - 2015.3 Institution：和歌山大学経済学部
Level：Undergraduate (specialized)
-
ミクロ・マクロ経済学入門
2013.4 - 2015.3 Institution：和歌山大学経済学部
Level：Undergraduate (liberal arts)
-
ファイナンス
2012.4 - 2015.3 Institution：和歌山大学経済学部
Level：Undergraduate (specialized)
-
マクロ経済学
2011.4 - 2012.3 Institution：東洋大学経済学部
Level：Undergraduate (specialized)
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