Effects of investor attention in China's commodity futures markets

Autor:	Ming-Hung Wu, Wei-Che Tsai, Pei-Shih Weng, Dan‐Yi Li
Rok vydání:	2021
Předmět:	Economics and Econometrics Financial economics ComputerApplications_COMPUTERSINOTHERSYSTEMS General Business Management and Accounting ComputingMilieux_GENERAL Accounting Online search Personal computer Economics Volatility (finance) China Proxy (statistics) Futures contract Finance
Zdroj:	Journal of Futures Markets. 41:1315-1332
ISSN:	1096-9934 0270-7314
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::602a01e39326a721dcd7c88fe3e86446 https://doi.org/10.1002/fut.22203 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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