Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New YorkKentaro Iwatsubo, Clinton Watkins and Tao Xu Journal of Commodity Markets, 2018, vol. 11, issue C, 59-71 Abstract: We investigate intraday seasonality in, and relationships between, informational efficiency, volatility, volume and liquidity. Platinum and gold, both traded in overlapping sessions in Tokyo and New York, provide an interesting comparison because Tokyo is an internationally important trading venue for platinum but not for gold. Our analysis indicates that both platinum and gold markets in Tokyo are dominated by uninformed trading, while there is evidence supporting both uninformed and informed trading in New York. Separating global trading hours into Tokyo, London and New York day sessions, we also find that uninformed trading is more prevalent during the Tokyo day session while informed trading dominates the New York day session for both metals in both locations. This evidence suggests that futures markets for the same underlying commodity on different exchanges have different microstructure characteristics, while both informed and uninformed traders choose when to trade depending on market characteristics in different time zones. Keywords: Intraday patterns; Microstructure; Efficiency; Commodity futures; Cross-market analysis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:11:y:2018:i:c:p:59-71 DOI: 10.1016/j.jcomm.2018.05.001 Access Statistics for this article Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard More articles in Journal of Commodity Markets from Elsevier |
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