Who Influences the Fundamental Value of Commodity Futures in Japan?

38 Pages Posted: 30 Jul 2018 Last revised: 19 Dec 2018

See all articles by Kentaro Iwatsubo

Kentaro Iwatsubo

Kobe University

Clinton Watkins

Graduate School of Economics, Kobe University

Date Written: July 29, 2018

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. We find that the efficient price in the gold, platinum and gasoline markets is mainly influenced by trade-related innovations. 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.

Keywords: Futures, Market Microstructure, Asymmetric Information, Investor Behaviour

JEL Classification: C22, G14, G15, Q02

Suggested Citation

Iwatsubo, Kentaro and Watkins, Clinton, Who Influences the Fundamental Value of Commodity Futures in Japan? (July 29, 2018). 31st Australasian Finance and Banking Conference 2018, Available at SSRN: https://ssrn.com/abstract=3222111 or http://dx.doi.org/10.2139/ssrn.3222111

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

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