Proceedings of the 2021 International Conference on Economic Development and Business Culture (ICEDBC 2021)

Investor Attention and Price Discovery Efficiency of Futures Market:

The Role of Investor Structure

Authors
Shunping Li, Lanqi Deng
Corresponding Author
Lanqi Deng
Available Online 12 July 2021.
DOI
10.2991/aebmr.k.210712.010How to use a DOI?
Keywords
Commodity Futures, Price Discovery Efficiency, Investor Attention, Investor Structure
Abstract

With gradually increasing number of investors in futures market, the respondence of futures price to market information has been accelerated by more investor attention than former, which might improve the price discovery efficiency of futures market. Based on the monthly data of commodity futures in China from 2016 to 2020, this paper indicates the following findings. Firstly, as to Chinese commodity futures market, the greater investor attention improves price discovery efficiency significantly. Secondly, more participation of investors who trade for hedging restrains the relationship between investor attention and price discovery efficiency.

Copyright
© 2021, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2021 International Conference on Economic Development and Business Culture (ICEDBC 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
12 July 2021
ISBN
978-94-6239-403-2
ISSN
2352-5428
DOI
10.2991/aebmr.k.210712.010How to use a DOI?
Copyright
© 2021, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Shunping Li
AU  - Lanqi Deng
PY  - 2021
DA  - 2021/07/12
TI  - Investor Attention and Price Discovery Efficiency of Futures Market:
BT  - Proceedings of the 2021 International Conference on Economic Development and Business Culture (ICEDBC 2021)
PB  - Atlantis Press
SP  - 52
EP  - 56
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210712.010
DO  - 10.2991/aebmr.k.210712.010
ID  - Li2021
ER  -