Effects of investor attention in China's commodity futures markets

This paper analyzes the impacts of investor attention on the returns and volatility of commodity futures in China. Using online search volumes as a proxy for investor attention, we find that investor attention exhibits a positive contemporaneous relationship with returns and volatility. In addition,...

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Bibliographic Details
Published in:The journal of futures markets 2021-08, Vol.41 (8), p.1315-1332
Main Authors: Wu, Ming‐Hung, Tsai, Wei‐Che, Weng, Pei‐Shih, Li, Dan‐Yi
Format: Article
Language:English
Subjects:
Attention
Baidu search index
Commodities
commodity futures market
Futures market
investor attention
Investors
Personal computers
Volatility
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Summary:This paper analyzes the impacts of investor attention on the returns and volatility of commodity futures in China. Using online search volumes as a proxy for investor attention, we find that investor attention exhibits a positive contemporaneous relationship with returns and volatility. In addition, the online search variables are significant predictors of returns and volatility in the commodity futures markets. Moreover, as compared with personal computer searches, mobile searches have a more pronounced predictive effect on returns and volatility. Taken together, we suggest that investor attention can explain the concurrent price movement and variation in the commodity futures markets in China.
ISSN:0270-7314
1096-9934
DOI:10.1002/fut.22203