Effects of investor attention in China's commodity futures markets
利用在线搜索量作为投资者关注的代理变量，发现投资者关注与中国商品期货的收益率和波动率呈同期正相关，且能预测未来走势，其中移动搜索的预测效果更强。
Abstract This paper analyzes the impacts of investor attention on the returns and volatility of commodity futures in China. Using online search volumes as a proxy for investor attention, we find that investor attention exhibits a positive contemporaneous relationship with returns and volatility. In addition, the online search variables are significant predictors of returns and volatility in the commodity futures markets. Moreover, as compared with personal computer searches, mobile searches have a more pronounced predictive effect on returns and volatility. Taken together, we suggest that investor attention can explain the concurrent price movement and variation in the commodity futures markets in China.