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Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures
Author(s) -
Chen Jing,
Liu YuJane,
Lu Lei,
Tang Ya
Publication year - 2016
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21727
Subject(s) - economics , futures contract , stock index futures , index (typography) , market liquidity , financial economics , volatility (finance) , monetary economics , inflation (cosmology) , futures market , stock market index , stock market , physics , horse , world wide web , computer science , theoretical physics , biology , paleontology
This paper examines the role of investor attention in scheduled macroeconomic announcements, using intraday data from the Chinese Stock Index futures market. Overall, investor attention, proxied by the Baidu Search Index, is significantly higher in the Consumer Price Index (CPI) than in other macroeconomic news. Consistently, only the CPI announcement has a substantial short‐term impact on the price, liquidity, and volatility of the CSI 300 index futures. In addition, the reactions of futures price to CPI announcements are stronger to bad CPI news, more sensitive in high‐inflation periods, and less pronounced on Fridays, consistent with our investor attention behavior findings. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:240–266, 2016