 Who influences the fundamental value of commodity futures in Japan?Kentaro Iwatsubo and Clinton Watkins International Review of Financial Analysis, 2020, vol. 67, issue C Abstract: We present evidence on the asymmetric information content of six investor groups' transactions in the gold, platinum, gasoline and rubber futures markets on the Tokyo Commodity Exchange. Microstructure theory suggests that traders with superior information regarding the efficient price should be more profitable in the long run. We find that foreign investors have the greatest influence over the efficient price in the gold market, domestic retail investors in the gasoline market and domestic investment funds in the platinum and rubber markets. Differences in the relative influence of investor groups over commodity futures are likely to reflect the degree of contract homogeneity and associated market liquidity. Foreign (domestic retail) investors have larger information shares for the homogeneous liquid (heterogeneous illiquid) contracts than for the heterogeneous illiquid (homogeneous liquid) contracts. Keywords: Asymmetric information; Commodities; Futures; Investor behaviour; Market microstructure (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:67:y:2020:i:c:s1057521919300584 DOI: 10.1016/j.irfa.2019.101404 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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