Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures

Jing Chen · Yu‐Jane Liu · Lei Lü · Ya Tang

49 citations0/0 files storedJournal of Futures Markets

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

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

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References

2001Bad is Stronger than Good 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors 2003Implications of rational inattention 2011In Search of Attention 2003Limited attention, information disclosure, and financial reporting 2009Media Coverage and the Cross‐section of Stock Returns 2009Investor Inattention and Friday Earnings Announcements

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