Economics at your fingertips  

Who Influences the Fundamental Value of Commodity Futures in Japan?

Kentaro Iwatsubo () and Clinton Watkins

No 1830, Discussion Papers from Graduate School of Economics, Kobe University

Abstract: We present evidence on asymmetric information content in the trades of six investor groups transacting in the gold, platinum, gasoline and rubber futures markets on the Tokyo Commodity Exchange. Microstructure theory suggests that traders with greater information on the efficient price should be more profitable in the long run. Foreign investors have the greatest influence over the efficient price in the gold market, investment funds in the platinum market and retail investors in the gasoline market. Both trade and non-trade related innovations have an equal influence on the efficient price of rubber, with trades by investment funds having the largest information content in this market. We relate differences in the relative influence of investor groups to differences in market interconnectedness, the nature of the commodity and associated fundamental information.

Keywords: Commodities; Futures; Market microstructure; Asymmetric information; Investor behaviour (search for similar items in EconPapers)
JEL-codes: C22 G14 G15 Q02 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mst
Date: 2018-12
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Discussion Papers from Graduate School of Economics, Kobe University Contact information at EDIRC.
Bibliographic data for series maintained by Kimiaki Shirahama (). This e-mail address is bad, please contact .

Page updated 2019-04-20
Handle: RePEc:koe:wpaper:1830