학회소식
학회소식
[2011년 제 2차] Does Trading Volume Matters to Price Discovery?
작성자 : 관리자
조회수 : 1040
게시일 :
2011-06-03
In this paper, we investigate common factor weights for U.S. and Japanese gold and platinum futures markets to examine their contribution to price discovery. The Japanese commodity futures market differs from most other commodity futures markets in that the most actively traded contract months are the deferred months rather than the nearby contract month. In addition the size of Japanese platinum market is larger than the U.S. market, vice versa in gold futures markets. Therefore their comparison with other exchange contracts provides information for whether trading volume matters to information contributions across commodity futures markets. Our findings show that regardless of maturities, the U.S. COMEX futures market primarily contributes to price discovery on gold futures markets, whereas the Japanese TOCOM futures market does for platinum futures commodities. In addition, we separate the volume effect and maturity effect by comparing NYMEX and TOCOM futures contracts that have different volume patterns with respect to maturities. According to our results, the well-known volume effect is dominated by the maturity effect that informational efficiency is inversely proportional to maturities.