Commodity Futures: A Japanese Perspective
Fumio Hayashi and
Yale School of Management Working Papers from Yale School of Management
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
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:amz2609
Access Statistics for this paper
More papers in Yale School of Management Working Papers from Yale School of Management Contact information at EDIRC.
Bibliographic data for series maintained by (). This e-mail address is bad, please contact .