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

With the spread of market sentiment global economic recession, favors hedging varieties such as gold and agricultural products. This paper seeks to investigate explanations corn futures price movements from perspective investor attention. We employ a time series autoregressive model (VAR) analyze relationship between them. Empirical results indicate that attention is Granger cause changes in price, generating both linear nonlinear effects on price. Furthermore, out-of-sample analysis shows introducing Baidu index improves model’s prediction accuracy.