Efficiency of the Dojima rice futures market in Tokugawa-period Japan

Co-integration analysis is applied to historical data (1760–1864) from the world’s first well-established futures market, in rice at Dojima (in Osaka, Japan). The market shows a strong seasonal character. The summer market was strongly characterized by producers’ hedging behavior, and may be called a "commodity-oriented futures market". On the other hand, the spring and autumn markets in the middle of Tokugawa era were "financial" markets, characterized by the unbiasedness hypothesis from the theory of rational expectations.