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Effects of investor attention in China's commodity futures markets

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  • Ming‐Hung Wu
  • Wei‐Che Tsai
  • Pei‐Shih Weng
  • Dan‐Yi Li

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.

Suggested Citation

  • 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.
    • Handle: RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1315-1332
    DOI: 10.1002/fut.22203
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    References listed on IDEAS

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