Investors’ attention and network spillover for commodity market forecasting

Roy Cerqueti, Valerio Ficcadenti and Raffaele Mattera

Socio-Economic Planning Sciences, 2024, vol. 95, issue C

Abstract: This paper explores the role of network spillovers in commodity market forecasting and proposes a novel factor-augmented dynamic network model. We focus on a novel network definition based on investors’ attention to commodities, positing that commodities exhibit spillovers if they share a similar level of interest. To this aim, we employ Google Trends search data as an instrumental measure for attention. The results reveal that including attention-driven spillovers significantly enhances the forecasting accuracy of commodity returns.

Keywords: Dynamic network model; Google Trends; Factor model; Prediction; Principal components; Commodity returns (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002222

DOI: 10.1016/j.seps.2024.102023

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