Effects of investor attention on commodity futures markets

Yi Kou, Qiang Ye, Feng Zhao and Xiaolin Wang

Finance Research Letters, 2018, vol. 25, issue C, 190-195

Abstract: China has recently seen surging retail investor participation in commodity futures markets and rapid adoption of mobile Internet interface. We study two questions with these developments using search frequency from Baidu, the leading Chinese Internet search engine, as a measure of retail investor attention. First we examine whether the relation between retail investor attention and stock returns exists for futures markets where short-selling constraint faced by retail investors is relaxed. Second, we investigate whether mobile Internet searches serve as an effective attention measure as traditional PC-based Internet searches. We find that higher attention predicts larger positive and negative returns in the futures markets, consistent with the argument of short-selling constraint in stock market. We also find that the predictive power of search frequency is mainly from PC-based searches and not from mobile searches.

Keywords: Commodity futures market; Investor attention; Search volume index; PC-based search volume (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:25:y:2018:i:c:p:190-195

DOI: 10.1016/j.frl.2017.10.014

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