Effects of investor attention in China's commodity futures markets

被引：2
|
作者：
Wu, Ming-Hung [1 ]
Tsai, Wei-Che [2 ,3 ]
Weng, Pei-Shih [2 ]
Li, Dan-Yi [4 ]
机构：
[1] Beijing Normal Univ, Inst Adv Studies Humanites & Social Sci, Zhuhai, Peoples R China
[2] Natl Sun Yat Sen Univ, Dept Finance, 70 Lien Hai Rd, Kaohsiung 80424, Taiwan
[3] Natl Chengchi Univ, Risk & Insurance Res Ctr, Taipei, Taiwan
[4] CI Consulting Co, Res Dept, Shenzhen, Peoples R China
来源：
JOURNAL OF FUTURES MARKETS | 2021年 / 41卷 / 08期
关键词：
Baidu search index; commodity futures market; investor attention;
D O I：
10.1002/fut.22203
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：1315 / 1332
页数：18
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