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

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. (c) 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:240-266, 2016