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Commodity Futures: A Japanese Perspective

Gary Gorton, Fumio Hayashi and K. Rouwenhorst

Yale School of Management Working Papers from Yale School of Management

Abstract: We study the basic properties of an equally-weighted index of U.S. commodity futures from the perspective of a Japanese investor. We find that the returns on the U.S. equally-weighted commodity futures index maintain their basic properties, documented in Gorton and Rouwenhorst (2005), when translated into Yen. In particular, looking at returns on Japanese stocks and bonds, the commodity futures index, translated into Yen, continues to display equity-like returns, but with slightly less volatility. In addition, the Yen-based commodity futures returns show essentially zero correlation with Japanese equities and negative correlation with bonds. Note: Downloadable document is in English. The Japanese version is available at http://ssrn.com/abstract=834724

Keywords: commodity; futures (search for similar items in EconPapers)
Date: 2006-08-01, Revised 2007-02-01
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