Who Influences the Fundamental Value of Commodity Futures in Japan?

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. We find that the efficient price in the gold, platinum and gasoline markets is mainly influenced by trade-related innovations. 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