The Impact of Investor Attention on China’s Corn Futures Price

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.