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

Author

Listed:
  • Yamori, Nobuyoshi

Abstract

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.

Suggested Citation

  • Yamori, Nobuyoshi, 2009. "Characteristics of Japan’s Commodities Index and its Correlation with Stock Index," MPRA Paper 17160, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:17160
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    File URL: https://mpra.ub.uni-muenchen.de/17160/1/MPRA_paper_17160.pdf
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    Cited by:

    1. Yamori, Nobuyoshi, 2010. "Co-movement between Commodity Market and Equity Market: Does Commodity Market Change?," MPRA Paper 23096, University Library of Munich, Germany.

    More about this item

    Keywords

    commodity future; commodity index; Japan;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G19 - Financial Economics - - General Financial Markets - - - Other

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