Java transparent window

I am trying to create a circle-shaped window that follows the mouse and pass clicks to the underlying windows.

I was doing this with Python and Qt (see Python overlay window) but then I switched to Java and Swing. However I'm not able to make the window transparent. I tried this method but it doesn't work, however I think that my system supports the transparency because if I start Screencast-O-Matic (which is in Java), the rectangle is actually transparent.

How can I achieve something like that? (I'm on Linux KDE4)