The effects of investor attention on commodity futures markets
利用谷歌搜索量作为投资者关注的直接代理变量，研究其对13种商品期货价格、收益及市场效率的影响，发现关注度既提升信息效率又助长羊群行为。
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.