Effects of investor attention in China's commodity futures markets

Abstract

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.

The dynamic interaction between investor attention and green security market: an empirical study based on Baidu index

“…Besides, Mezghani et al (2021) further constructed an investor attention proxy based on the Google search volume index and examined investor attention's effects on Chinese stock and bond markets. Similarly, most studies adopt Baidu index as the proxy variable of investor attention for Chinese financial markets (Wei et al, 2013;Wu et al, 2021;Lang et al, 2021).…”