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Commodity Futures: A Japanese Perspective

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Author Info

  • Gary Gorton
  • Fumio Hayashi
  • K. Rouwenhorst

Abstract

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

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File URL: http://icfpub.som.yale.edu/publications/2609
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Bibliographic Info

Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number amz2609.

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Date of creation: 01 Aug 2006
Date of revision: 01 Feb 2007
Handle: RePEc:ysm:somwrk:amz2609

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Web page: http://icf.som.yale.edu/
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Related research

Keywords: commodity futures;

References

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  1. Gary Gorton & K. Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," Yale School of Management Working Papers amz2619, Yale School of Management, revised 01 Mar 2005.
  2. Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
  3. Wakita, Shigeru, 2001. "Efficiency of the Dojima rice futures market in Tokugawa-period Japan," Journal of Banking & Finance, Elsevier, vol. 25(3), pages 535-554, March.
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Cited by:
  1. 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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