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The effects of investor attention on commodity futures markets

Author

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  • Liyan Han
  • Ziying Li
  • Libo Yin

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.

Suggested Citation

  • Liyan Han & Ziying Li & Libo Yin, 2017. "The effects of investor attention on commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(10), pages 1031-1049, October.
    • Handle: RePEc:wly:jfutmk:v:37:y:2017:i:10:p:1031-1049
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