Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York

Kentaro Iwatsubo, Clinton Watkins and Tao Xu
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Tao Xu: Graduate School of Economics, Kobe University

No 1722, Discussion Papers from Graduate School of Economics, Kobe University

Abstract: We investigate intraday seasonality in, and relationships between, informational efficiency, volatility, volume and liquidity. Platinum and gold, both traded in overlapping sessions in Tokyo and New York, provide an interesting comparison because Tokyo is an internationally important trading venue for platinum but not for gold. Our analysis indicates that both platinum and gold markets in Tokyo are dominated by uninformed trading, while there is evidence supporting both uninformed and informed trading in New York. Separating global trading hours into Tokyo, London and New York day sessions, we also find that uninformed trading is more prevalent during the Tokyo day session while informed trading dominates the New York day session for both metals in both locations. This evidence suggests that futures markets for the same underlying commodity on different exchanges have different microstructure characteristics, while both informed and uninformed traders choose when to trade depending on market characteristics in different time zones.

Keywords: intraday patterns; microstructure; efficiency; commodity futures (search for similar items in EconPapers)
JEL-codes: G14 G15 Q02 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2017-11
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (1)

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http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2017/1722.pdf (application/pdf)

Related works:
Journal Article: Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York (2018)
Working Paper: Intraday Seasonality in Efficiency, Liquidity, Volatility, and Volume: Platinum and gold futures in Tokyo and New York (2017)
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