Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York

28 Pages Posted: 18 Aug 2017

See all articles by Kentaro Iwatsubo

Kentaro Iwatsubo

Kobe University

Clinton Watkins

Graduate School of Economics, Kobe University

Tao Xu

Kobe University - Graduate School of Economics

Date Written: June 22, 2017

Abstract

We investigate intraday seasonality in, and relationships between, informational efficiency, volatility, volume and liquidity. Platinum and gold, both traded in overlapping sessions in Tokyo and New York, provide an interesting comparison because Tokyo is an internationally important trading venue for platinum but not for gold. Our analysis indicates that both platinum and gold markets in Tokyo are dominated by liquidity trading, while there is evidence supporting both liquidity and informed trading in New York. Separating global trading hours into Tokyo, London and New York day sessions, we also find that liquidity trading is more prevalent during the Tokyo day session while informed trading dominates the New York day session for both metals in both locations. This evidence suggests that futures markets for the same underlying commodity on different exchanges have different microstructure characteristics, while both informed and liquidity traders choose when to trade depending on market characteristics in different time zones.

Keywords: intraday patterns, microstructure, efficiency, commodity futures

JEL Classification: G14, G15, Q02

Suggested Citation

Iwatsubo, Kentaro and Watkins, Clinton and Xu, Tao, Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York (June 22, 2017). 30th Australasian Finance and Banking Conference 2017, Available at SSRN: https://ssrn.com/abstract=3021533 or http://dx.doi.org/10.2139/ssrn.3021533

Kentaro Iwatsubo

Kobe University ( email )

2-1, Rokkodai-cho, Nada-ku
Kobe, 657-8501, 657-8501
Japan

Clinton Watkins (Contact Author)

Graduate School of Economics, Kobe University ( email )

2-1, Rokkodai
Nada-Ku
Kobe, Hyogo, 657-8501
Japan

HOME PAGE: http://www.econ.kobe-u.ac.jp/en/people/course/academicstaff/watkins.html

Tao Xu

Kobe University - Graduate School of Economics ( email )

2-1, Rokkodai
Nada-Ku
Kobe, Hyogo, 657-8501
Japan

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