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Commodity Futures: A Japanese Perspective

  • Gary Gorton
  • Fumio Hayashi
  • K. Rouwenhorst

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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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
Contact details of provider: Web page: http://icf.som.yale.edu/

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  1. 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.
  2. 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.
  3. Shigeyuki Hamori & Naoko Hamori & David A. Anderson, 2001. "An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(9), pages 861-874, 09.
  4. Gary Gorton & K. Geert Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," NBER Working Papers 10595, National Bureau of Economic Research, Inc.
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