Who Influences the Fundamental Value of Commodity Futures in Japan?
We present evidence on asymmetry in the information content of the trades of six investor groups transacting in the gold, platinum, gasoline and rubber futures markets on the Tokyo Commodity Exchange (TOCOM). Hasbrouck [J.Finance 46(1) (1991) 179] shows that the information content of trades can be estimated as the trade-related component of the variance of the efficient price from a bivariate structural VAR model of trades and quotes. Using this approach, 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 efficient price of rubber, with trades by investment funds having the largest information content in this market.
Commodities, Futures, Market microstructure, Asymmetric information, Investor behaviour
