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Effects of investor attention on commodity futures markets

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  • Kou, Yi
  • Ye, Qiang
  • Zhao, Feng
  • Wang, Xiaolin

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.

Suggested Citation

  • Kou, Yi & Ye, Qiang & Zhao, Feng & Wang, Xiaolin, 2018. "Effects of investor attention on commodity futures markets," Finance Research Letters, Elsevier, vol. 25(C), pages 190-195.
    • Handle: RePEc:eee:finlet:v:25:y:2018:i:c:p:190-195
    DOI: 10.1016/j.frl.2017.10.014
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    Cited by:

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    5. Gao, Ya & Xiong, Xiong & Feng, Xu & Li, Youwei & Vigne, Samuel A., 2019. "A new attention proxy and order imbalance: Evidence from China," Finance Research Letters, Elsevier, vol. 29(C), pages 411-417.
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