Munich Personal RePEc Archive

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

Yamori, Nobuyoshi (2009): Characteristics of Japan’s Commodities Index and its Correlation with Stock Index.

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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.

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