Earticle

초록

영어

In this paper, we investigate common factor weights for U.S. and Japanese gold and platinum futures markets to examine their contribution to price discovery. The Japanese commodity futures market differs from most other commodity futures markets in that the most actively traded contract months are the deferred months rather than the nearby contract month. In addition the size of Japanese platinum market is larger than the U.S. market, vice versa in gold futures markets. Therefore their comparison with other exchange contracts provides information for whether trading volume matters to information contributions across commodity futures markets. Our findings show that regardless of maturities, the U.S. COMEX futures market primarily contributes to price discovery on gold futures markets, whereas the Japanese TOCOM futures market does for platinum futures commodities. In addition, we separate the volume effect and maturity effect by comparing NYMEX and TOCOM futures contracts that have different volume patterns with respect to maturities. According to our results, the well-known volume effect is dominated by the maturity effect that informational efficiency is inversely proportional to maturities.

목차

Abstract
 1. Introduction
 2. Data and Methodology
  2.1. Data Description
  2.2. Methodology
 3. Main Results
  3.1 Contribution to Price Discovery over Maturity
  3.2. Does Maturity Matters More than Volume?
  3.3. Does Japanese Commodity Market EVER Matter in the international gold market?
 4. Conclusion
 References
 Figur
 Table

저자

• Kang, Jangkoo [ KAIST Business School ]
• Kang, So Hyun [ KAIST Business School ]
• Webb, Robert I. [ University of Virginia, KAIST Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330