Commodity Futures: A Japanese Perspective
AbstractWe 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
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number amz2609.
Date of creation: 01 Aug 2006
Date of revision: 01 Feb 2007
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- Yamori, Nobuyoshi, 2010. "Co-movement between Commodity Market and Equity Market: Does Commodity Market Change?," MPRA Paper 23096, University Library of Munich, Germany.
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