Characteristics of Japan’s Commodities Index and its Correlation with Stock Index

The commodity indexes associated with Japan’s commodity-futures markets were formed in 2008 and publicized by the Tokyo Commodity Exchange and the Tokyo Grain Exchange. In this paper, I used these indexes to analyze the properties of Japan’s commodity futures as portfolio investments, and could confirm that they possess investment characteristics that differ from stocks, and that commodity investors can enjoy favorable “diversified investment” effects if leveraged skillfully.

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Year of publication:	2009-09-07
Authors:	Yamori, Nobuyoshi
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	commodity future \| commodity index \| Japan

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G11 - Portfolio Choice ; G19 - General Financial Markets. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005027142