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Who Influences the Fundamental Value of Commodity Futures in Japan?

Author

Listed:
  • Kentaro Iwatsubo

    (Graduate School of Economics, Kobe University)

  • Clinton Watkins

    (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.

Suggested Citation

  • Kentaro Iwatsubo & Clinton Watkins, 2018. "Who Influences the Fundamental Value of Commodity Futures in Japan?," Discussion Papers 1830, Graduate School of Economics, Kobe University.
    • Handle: RePEc:koe:wpaper:1830
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    File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2018/1830.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Kumar, Ashish & Badhani, K.N. & Bouri, Elie & Saeed, Tareq, 2021. "Herding behavior in the commodity markets of the Asia-Pacific region," Finance Research Letters, Elsevier, vol. 41(C).

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    More about this item

    Keywords

    Commodities; Futures; Market microstructure; Asymmetric information; Investor behaviour;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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