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Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures

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  • Jing Chen
  • Yu‐Jane Liu
  • Lei Lu
  • Ya Tang

Abstract

This paper examines the role of investor attention in scheduled macroeconomic announcements, using intraday data from the Chinese Stock Index futures market. Overall, investor attention, proxied by the Baidu Search Index, is significantly higher in the Consumer Price Index (CPI) than in other macroeconomic news. Consistently, only the CPI announcement has a substantial short‐term impact on the price, liquidity, and volatility of the CSI 300 index futures. In addition, the reactions of futures price to CPI announcements are stronger to bad CPI news, more sensitive in high‐inflation periods, and less pronounced on Fridays, consistent with our investor attention behavior findings. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:240–266, 2016

Suggested Citation

  • Jing Chen & Yu‐Jane Liu & Lei Lu & Ya Tang, 2016. "Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(3), pages 240-266, March.
    • Handle: RePEc:wly:jfutmk:v:36:y:2016:i:3:p:240-266
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    Cited by:

    1. Jieun Lee & Doojin Ryu, 2019. "The impacts of public news announcements on intraday implied volatility dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 656-685, June.
    2. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.
    3. Ming‐Hung Wu & Wei‐Che Tsai & Pei‐Shih Weng & Dan‐Yi Li, 2021. "Effects of investor attention in China's commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1315-1332, August.
    4. Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2022. "Scheduled macroeconomic news announcements and intraday market sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    5. Gang Chu & John W. Goodell & Dehua Shen & Yongjie Zhang, 2022. "Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction," Annals of Operations Research, Springer, vol. 318(1), pages 103-128, November.
    6. Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie, 2023. "Information demand density matters: Evidence from the post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 86(C).
    7. Chun-I Lin & Kuan-Yi Chiang & Ming-Chih Lee & Yen-Hsien Lee, 2021. "The Cross-Border Price Discovery and the Shanghai-Hong Kong Stock Connect," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 11(3), pages 1-2.
    8. Fan, Xiaoqian & Yuan, Ying & Zhuang, Xintian & Jin, Xiu, 2017. "Long memory of abnormal investor attention and the cross-correlations between abnormal investor attention and trading volume, volatility respectively," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 323-333.
    9. Du, Zhihui & Zheng, Xiaojia & Zhang, Chenye & Zhou, Rongxi, 2023. "Does the online interaction between retail investors and firm management affect capital structure?," Finance Research Letters, Elsevier, vol. 55(PA).
    10. Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 288-308.
    11. Liu, Guofang & Fang, Xi & Huang, Yuan & Zhao, Weidong, 2021. "Identifying the role of consumer and producer price index announcements in stock index futures price changes," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 87-101.
    12. Yan, Wan-Lin, 2023. "Stock index futures price prediction using feature selection and deep learning," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    13. Cheng, Feiyang & Chiao, Chaoshin & Wang, Chunfeng & Fang, Zhenming & Yao, Shouyu, 2021. "Does retail investor attention improve stock liquidity? A dynamic perspective," Economic Modelling, Elsevier, vol. 94(C), pages 170-183.
    14. Sun, Bianxia & Gao, Yang, 2020. "Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    15. Doojin Ryu & Robert I. Webb & Jinyoung Yu, 2023. "Who pays the liquidity cost? Central bank announcements and adverse selection," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 904-924, July.
    16. Luo, Jinbo & Liu, Qigui, 2020. "Corporate social responsibility disclosure in China: Do managerial professional connections and social attention matter?," Emerging Markets Review, Elsevier, vol. 43(C).
    17. Mauck, Nathan & Pruitt, Stephen & Zhang, Wenjia, 2022. "Words matter: Market responses to changes in U.S. and Chinese trade-related internet search frequency under different U.S. administrations," Global Finance Journal, Elsevier, vol. 53(C).
    18. Xin Huang, 2018. "Macroeconomic news announcements, systemic risk, financial market volatility, and jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(5), pages 513-534, May.
    19. Chen Gu & Denghui Chen & Raluca Stan, 2021. "Investor sentiment and the market reaction to macroeconomic news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1412-1426, September.

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