The effects of investor attention on commodity futures markets

Liyan Han, Ziying Li and Libo Yin ()

Journal of Futures Markets, 2017, vol. 37, issue 10, 1031-1049

Abstract: This study utilizes the search volume for key terms on Google as a direct and timely proxy for investor attention in order to examine how attention impacts commodity futures prices, We provide significant evidence for attention's influence on 13 commodity futures and the interaction between attention and returns, even after controlling for important macroeconomic variables. We also examine the impact of investor attention on market efficiency. Results show that rising attention, on one hand, increases information efficiency and attenuates arbitrage opportunities, whereas, on the other hand, decreases market efficiency by facilitating herd behavior.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:37:y:2017:i:10:p:1031-1049

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().