Trader Attention and Market Reaction to Fundamental News: Evidence From Natural Gas Futures
研究了交易者注意力如何影响天然气市场对美国能源信息署库存公告的反应，发现周五公告的市场反应比周四弱74%，归因于周五交易者注意力较低。
ABSTRACT This paper examines the effect of trader attention on the response of the natural gas market to weekly US Energy Information Administration announcements regarding changes in natural gas inventories. We find that lower trader attention hinders price discovery in the natural gas futures market. Based on our daily regression estimates, the market responds 74% weaker to inventory announcements released on Fridays, compared to those released on Thursdays. We attribute the findings to lower trader attention in the natural gas market on Fridays compared to other weekdays. The results remain robust after controlling for the withdrawal and injection seasons in the natural gas market.