Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)

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The Effects of Investor Attention on Cornstarch Futures Markets

Authors
Lu Zhang1, Li Sun1, *, Peng Liu1, Shiyang Sun1
1College of Information Science and Engineering, Shandong Agricultural University, No. 61 Daizong Road, Taian, 271018, People’s Republic of China
*Corresponding author. Email: sunli@sdau.edu.cn
Corresponding Author
Li Sun
Available Online 10 August 2023.
DOI
10.2991/978-94-6463-198-2_12How to use a DOI?
Keywords
VAR model; Granger causality test; Impulse response; Cornstarch futures return; Investor attention
Abstract

The futures market price of agricultural products is affected by many factors. We introduce the Baidu search index as a proxy variable for investor attention and examine the link between corn starch futures and the Baidu index. The Granger causality test is used to observe the direction of causality, which shows that the Baidu index causes cornstarch futures. The VAR model indicates that attention has significant positive effects on cornstarch futures return.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
Series
Atlantis Highlights in Computer Sciences
Publication Date
10 August 2023
ISBN
978-94-6463-198-2
ISSN
2589-4900
DOI
10.2991/978-94-6463-198-2_12How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Lu Zhang
AU  - Li Sun
AU  - Peng Liu
AU  - Shiyang Sun
PY  - 2023
DA  - 2023/08/10
TI  - The Effects of Investor Attention on Cornstarch Futures Markets
BT  - Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
PB  - Atlantis Press
SP  - 103
EP  - 108
SN  - 2589-4900
UR  - https://doi.org/10.2991/978-94-6463-198-2_12
DO  - 10.2991/978-94-6463-198-2_12
ID  - Zhang2023
ER  -