Research on the Volatility of the Cotton Market under Different Term Structures: Perspective from Investor Attention

Qingjie Zhou, Panpan Zhu, You Wu and Yinpeng Zhang ()
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Qingjie Zhou: School of Economics, Beijing Technology and Business University, Beijing 100048, China
Panpan Zhu: School of Economics, Beijing Technology and Business University, Beijing 100048, China
You Wu: School of Economics, Beijing Technology and Business University, Beijing 100048, China
Yinpeng Zhang: College of Economics & Management, China Jiliang University, Hangzhou 310018, China

Sustainability, 2022, vol. 14, issue 21, 1-20

Abstract: This study performed comprehensive investigations of the complex interconnections between investor attention and cotton futures price volatility under different term structures. In this paper, in-sample analysis, out-of-sample forecast, influencing mechanisms, as well as nonlinear connections are fully explored using several linear model specifications. The results can be summarized as follows: first, investor attention is the Granger causality of the cotton futures volatility and shows significant linear impacts on cotton volatility; second, models incorporated with investor attention significantly improve the prediction accuracy of cotton volatility in the long term compared with the commonly used AR benchmark model; third, the influence of investor attention on cotton volatility may occur through open interest; and fourth, investor attention presents nonlinear impacts on cotton volatility as well. Overall, the results of this article can provide strong supporting evidence for the important roles of investor attention in asset pricing applications.

Keywords: cotton volatility; investor attention; term structures; out-of-sample forecasts; open interest (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:14:y:2022:i:21:p:14389-:d:961941

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