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Intraday Seasonality in Efficiency, Liquidity, Volatility, and Volume: Platinum and gold futures in Tokyo and New York

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  • IWATSUBO Kentaro
  • Clinton WATKINS
  • XU Tao

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 uninformed trading, while there is evidence supporting both uninformed and informed trading in New York. Separating global trading hours into Tokyo, London, and New York day sessions, we also find that uninformed 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 uninformed traders choose when to trade depending on market characteristics in different time zones.

Suggested Citation

  • IWATSUBO Kentaro & Clinton WATKINS & XU Tao, 2017. "Intraday Seasonality in Efficiency, Liquidity, Volatility, and Volume: Platinum and gold futures in Tokyo and New York," Discussion papers 17120, Research Institute of Economy, Trade and Industry (RIETI).
    • Handle: RePEc:eti:dpaper:17120
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    Cited by:

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    3. Shusheng Ding & Zhipan Yuan & Fan Chen & Xihan Xiong & Zheng Lu & Tianxiang Cui, 2021. "Impact persistence of stock market risks in commodity markets: Evidence from China," PLOS ONE, Public Library of Science, vol. 16(11), pages 1-22, November.
    4. Ying Jiang & Neil Kellard & Xiaoquan Liu, 2020. "Night trading and market quality: Evidence from Chinese and US precious metal futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1486-1507, October.
    5. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
    6. Anastasios Demertzidis, 2019. "Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-," MAGKS Papers on Economics 201932, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    7. Ji, Qiang & Zhang, Dayong, 2019. "China’s crude oil futures: Introduction and some stylized facts," Finance Research Letters, Elsevier, vol. 28(C), pages 376-380.

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    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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