Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Evaluating the Financial Market Function in Prewar Japan using a
  Time-Varying Parameter Model   This paper explores when the financial market lost the price formation
function in prewar Japan in the sense of Fama's (1970) semi-strong form market
efficiency using a new dataset. We particularly focus on the relationship
between the prewar Japanese financial market and several government policy
interventions to explore whether the semi-strong form market efficiency evolves
over time. To capture the long-run impact of government policy interventions
against the markets, we measure the time-varying joint degree of market
efficiency and the time-varying impulse responses based on Ito et al.'s (2014;
2017) generalized least squares-based time-varying vector autoregressive model.
The empirical results reveal that (1) the joint degree of market efficiency in
the prewar Japanese financial market fluctuated over time because of external
events such as policy changes and wars, (2) the semi-strong form EMH is almost
supported in the prewar Japanese financial market, (3) Lo's (2004) adaptive
market hypothesis is supported in the prewar Japanese financial market even if
we consider that the public information affects the financial markets, and (4)
the prewar Japanese financial markets lost the price formation function in 1932
and that was a turning point in the market.

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The categories of this paper are: gr-qc
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The categories of this paper are: cmp-lg
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The categories of this paper are: eess
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The categories of this paper are: stat
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The categories of this paper are: astro-ph
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The categories of this paper are: supr-con
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The categories of this paper are: hep-ex
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The categories of this paper are: math-ph
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The categories of this paper are: adap-org
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The categories of this paper are: dg-ga
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The categories of this paper are: chao-dyn
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The categories of this paper are: q-bio
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The categories of this paper are: ao-sci
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The categories of this paper are: quant-ph
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The categories of this paper are: patt-sol
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The categories of this paper are: comp-gas