TITLE:
The Impact of Investor Attention on China’s Corn Futures Price
AUTHORS:
Lu Zhang, Yinpeng Zhang, Li Sun, Junwei Cheng
KEYWORDS:
Corn Futures Price, Baidu Index, VAR Model, Granger Causality, Investor Attention
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.13 No.2,
May
23,
2023
ABSTRACT: With the spread of market sentiment of global economic recession, the market favors hedging varieties such as gold and agricultural products. This paper seeks to investigate the explanations of corn futures price movements from the perspective of investor attention. We employ a time series autoregressive model (VAR) to analyze the relationship between them. Empirical results indicate that investor attention is a Granger cause of changes in the corn futures price, generating both linear and nonlinear effects on corn futures price. Furthermore, out-of-sample analysis shows that introducing the Baidu index improves the model’s prediction accuracy.