The effects of investor attention on commodity futures markets
作者:Han, LY(Han, Liyan);Li, ZY(Li, Ziying);Yin, LB(Yin, Libo)
JOURNAL OF FUTURES MARKETS
卷:37
期:10
页:1031-1049
特刊:SI
DOI:10.1002/fut.21853
出版年:OCT 2017
会议名称
会议:5th International Conference on Futures and Other Derivatives Markets
会议地点:Shenzhen, PEOPLES R CHINA
会议日期:DEC, 2016
会议赞助商:China Futures Assoc; Shanghai Futures Exchange; Zhengzhou Commod Exchange; Dalian Commod Exchange; China Financial Futures Exchange; Nottingham Univ Ningbo; Beihang Univ
This study utilizes the search volume for key terms on Google as a direct and timely proxy for investor attention in order to examine how attention impacts commodity futures prices, We provide significant evidence for attention's influence on 13 commodity futures and the interaction between attention and returns, even after controlling for important macroeconomic variables. We also examine the impact of investor attention on market efficiency. Results show that rising attention, on one hand, increases information efficiency and attenuates arbitrage opportunities, whereas, on the other hand, decreases market efficiency by facilitating herd behavior.
WILEY, 111 RIVER ST, HOBOKEN 07030-5774, NJ USA
研究方向:Business & Economics
Web of Science 类别:Business, Finance
