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

11 Pages Posted: 7 Sep 2009 Last revised: 15 Oct 2009

See all articles by Nobuyoshi Yamori

Nobuyoshi Yamori

Kobe University - Research Institute for Economics & Business Administration

Date Written: September 7, 2009

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.

Keywords: commodity futures; commodity index; Japan

JEL Classification: G19

Suggested Citation

Yamori, Nobuyoshi, Characteristics of Japan’s Commodities Index and its Correlation with Stock Index (September 7, 2009). Available at SSRN: https://ssrn.com/abstract=1469517 or http://dx.doi.org/10.2139/ssrn.1469517

Nobuyoshi Yamori (Contact Author)

Kobe University - Research Institute for Economics & Business Administration ( email )

2-1, Rokkodai cho
Nada-ku
Kobe, 657-8501
Japan

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