Title: Investor attention spillover between equity market and commodity market
Authors: Nan Zhao - Cass Business School, City, University of London (United Kingdom) [presenting]
Ana-Maria Fuertes - Cass Business School - City University London (United Kingdom)
Abstract: Exploiting the measure of investors' attention from media coverage of news articles, we find that commodity futures with related stocks that experience higher returns in the past two weeks are associated with higher returns and turnover in the future week, after adjusting for a battery of risk and characteristic benchmarks. This finding is consistent with our conjectures that investors (a) tend to trade more after a positive investment experience, and (b) are more likely to transfer their attention from the stock market to the commodity market.