An Overview of Commodity Sectors

Eller, Roland; Sagerer, Christian; Fabozzi, Frank J.; Füss, Roland; Kaiser, Dieter G.

doi:10.1002/9781118267004.ch30

“…Tokyo's importance in the global platinum market stems from the use of platinum in the the automotive industry. Over 40 percent of global platinum production is used in automotive catalytic converters (McDonald and Hunt, 1982;Eller and Sagerer, 2011). Japanese firms trading in physical platinum for the automotive industry have traditionally used TOCOM to transact in platinum futures for hedging purposes via liquid far dated contracts 1 .…”

Section: Futures Marketsmentioning

confidence: 99%

Who influences the fundamental value of commodity futures in Japan?

Iwatsubo

¹

,

Watkins

²

2020

International Review of Financial Analysis

4

0

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We present evidence on asymmetric information content in the trades of six investor groups transacting in the gold, platinum, gasoline and rubber futures markets on the Tokyo Commodity Exchange. Microstructure theory suggests that traders with greater information on the efficient price should be more profitable in the long run. Foreign investors have the greatest influence over the efficient price in the gold market, investment funds in the platinum market and retail investors in the gasoline market. Both trade and non-trade related innovations have an equal influence on the efficient price of rubber, with trades by investment funds having the largest information content in this market. We relate differences in the relative influence of investor groups to differences in market interconnectedness, the nature of the commodity and associated fundamental information.

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“…Cotton is used in the textile industry. Rubber also finds many applications and is one of the most important industrial agro-raw materials (Eller and Sagerer 2008). https://doi.org/10.17221/216/2021-AGRICECON The largest coffee producer is Brazil with an amount of 4.1 million t (69 million of 60-kg bags) in 2020, followed by Vietnam, Indonesia and Colombia.…”

mentioning

confidence: 99%

Are soft commodities markets affected by the Halloween effect?

Krawiec¹,

Górska²

2021

AGR ECON-CZECH

0

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Within the last three decades commodity markets, including soft commodities markets, have become more and more like financial markets. As a result, prices of commodities may exhibit similar patterns or anomalies as those observed in the behaviour of different financial assets. Their existence may cast doubts on the competitiveness and efficiency of commodity markets. It motivates us to conduct the research presented in this paper, aimed at examining the Halloween effect in the markets of basic soft commodities (cocoa, coffee, cotton, frozen concentrated orange juice, rubber and sugar) from 1999 to 2020. This long-time span ensures the credibility of results. Apart from performing the two-sample t-test and the rank-sum Wilcoxon test, we additionally investigate the autoregressive conditional heteroskedasticity (ARCH) effect. Its presence in our data allows us to estimate generalised autoregressive conditional heteroskedasticity [GARCH (1, 1)] models with dummies representing the Halloween effect. We also investigate the impact of the January effect on the Halloween effect. Results reveal the significant Halloween effect for cotton (driven by the January effect) and the significant reverse Halloween effect for sugar. It brings implications useful to the main actors in the market. They may apply trading strategies generating satisfactory profits or providing hedging against unfavourable changes in soft commodities prices.

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Who Influences the Fundamental Value of Commodity Futures in Japan?

Iwatsubo

¹

,

Watkins

²

2018

SSRN Journal

0

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We present evidence on asymmetric information content in the trades of six investor groups transacting in the gold, platinum, gasoline and rubber futures markets on the Tokyo Commodity Exchange. Microstructure theory suggests that traders with greater information on the efficient price should be more profitable in the long run. Foreign investors have the greatest influence over the efficient price in the gold market, investment funds in the platinum market and retail investors in the gasoline market. Both trade and non-trade related innovations have an equal influence on the efficient price of rubber, with trades by investment funds having the largest information content in this market. We relate differences in the relative influence of investor groups to differences in market interconnectedness, the nature of the commodity and associated fundamental information.

show abstract

An Overview of Commodity Sectors

Cited by 4 publications

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Who influences the fundamental value of commodity futures in Japan?

Who influences the fundamental value of commodity futures in Japan?

Are soft commodities markets affected by the Halloween effect?

Who Influences the Fundamental Value of Commodity Futures in Japan?

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