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Attention-return relation in the gold market and market states

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  • Piccoli, Pedro
  • de Castro, Jessica

Abstract

We document that the attention-return relation in the gold spot market is sensitive to market states since we identify a positive (negative) association between returns and contemporaneous attention during bull (bear) markets. This sensitivity is influenced by the magnitude of the returns, since the significance of the relation, based on a quantile model, increases almost monotonically as the return distribution moves away from the median. We further find that investor attention is influenced by recent gold spot price trends in both market states. Overall, these results suggest that gold return past performance attracts the attention of individual investors who, in turn, trade to profit from the trend, reinforcing the price movement, which is consistent with the time-series momentum framework.

Suggested Citation

  • Piccoli, Pedro & de Castro, Jessica, 2021. "Attention-return relation in the gold market and market states," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003421
    DOI: 10.1016/j.resourpol.2021.102333
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    References listed on IDEAS

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    Cited by:

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    3. Matheus Pereira Libório & Petr Iakovlevitch Ekel & Carlos Augusto Paiva Martins, 2023. "Economic analysis through alternative data and big data techniques: what do they tell about Brazil?," SN Business & Economics, Springer, vol. 3(1), pages 1-16, January.

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    More about this item

    Keywords

    Gold; Market states; Investor attention; Google trends;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q37 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Issues in International Trade

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