The effect of investors’ information search behaviors on rebar market return dynamics using high frequency data

Jianbai Huang, Jing Tang and Hongwei Zhang

Resources Policy, 2020, vol. 66, issue C

Abstract: This study uses a new perspective to quantitatively explore the causality mechanism and intensity between investors' information search behaviours and rebar market returns (realized variance). Based on supply-side structural reform, we perform a comparative analysis of the changes in the causal relationship using the nonlinear Granger causality test and the dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model. The empirical results suggest that there is no causality from investors' information search behaviours to daily returns (realized variance) before the supply-side structural reform. However, significant unidirectional nonlinear causality from investors' information search behaviours to daily returns (realized variance) does exist after the supply-side structural reform. In addition, the effect of investors’ information search behaviours on rebar return dynamics is channelled via the continuous component of realized variance but not the jump component. Furthermore, the results of the DCC-GARCH model show that the effect of supply-side structural reform on daily returns and realized variance has an opposite trend and conflicting features. These results indicate that supply-side structural reform has a great impact on investment performance in terms of volatility forecasting and asset pricing.

Keywords: Investors' information search behaviours; Baidu index; Rebar futures return; Realized variance; Supply-side structural reform (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719306038

DOI: 10.1016/j.resourpol.2020.101611

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