Discussion Paper

No. 2017-37 | June 20, 2017
Does investor attention matter? The attention-return relation in gold futures market

Abstract

The authors investigate multiplicate relationships between investor attention and gold futures return. The Vector Auto Regression (VAR) estimates demonstrate that investor attention exhibits significant impact on gold futures returns and the effect can be positive or negative depending on how much time has elapsed since this effect. Reversely, VAR results demonstrate past gold return typically has a sizable impact on investor attention with a positive coefficient. Following the findings, they investigate the influences of four types of interaction terms and the results suggest that the attention-return relationship is significantly altered by past return, past trader positions, the severity of past attention, and the presence of extreme economic conditions. The authors also find that investor attention is closely associated with futures basis, indicating that investor attention incorporates meaningful information about expected futures prices, thus providing an alternative explanation of economic rationale for the attention-return relationship. The asset allocation exercise demonstrates substantial economic value by implementing information from investor attention.

JEL Classification:

G12, G14, G17

Assessment

  • Downloads: 130

Links

Cite As

Liyan Han, Yang Xu, and Libo Yin (2017). Does investor attention matter? The attention-return relation in gold futures market. Economics Discussion Papers, No 2017-37, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2017-37


Comments and Questions


Sheng Zhu - Alternative measures of investor attention
June 23, 2017 - 10:22

Could you please explain what alternative measures of investor attention are used in the existing literature? Can you obtain other measures? What is your advantage of using google search probabilities as compared to other measures? Thanks.


Yang Xu - alternative measures of investor attention
June 29, 2017 - 09:22

Thank you for your question. Please see the attachment.


Anonymous - Comment
June 23, 2017 - 13:45

This paper uses the aggregate search probabilities published by Google as a measure of investor attention to explain the fluctuations in gold futures market. It is really a meaningful topic. But the author should make some comments on the data download since I remember that Google lets one only download ...[more]

... samples 90 days and each with a different normalization factor.


Anonymous - data description
June 29, 2017 - 09:17

Thank you for your question. Google Trend provides time series search data in different frequencies. Daily data, as you mentioned, are available within recent 90 days, while weekly and monthly data are available since January 2004. Thus, we are able to obtain the weekly data directly from Google’s database without ...[more]

... manipulation.


Yang Xu - data description
June 29, 2017 - 09:18

Thank you for your question. Google Trend provides time series search data in different frequencies. Daily data, as you mentioned, are available within recent 90 days, while weekly and monthly data are available since January 2004. Thus, we are able to obtain the weekly data directly from Google’s database without ...[more]

... manipulation.


Weiqing Zhang - Does investor attention matter? The attention-return relation in gold futures market: A review
August 07, 2017 - 23:34

Please refer to the attached file.