Abstract

This paper firstly puts forward to employ investor attention obtained from Google trends to explain and forecast carbon futures return in the European Union-Emission Trading Scheme (EU-ETS). Our empirical results show that investor attention is a granger cause to changes in carbon return. Furthermore, investor attention generates both linear and non-linear effects on carbon return. The results demonstrate that investor attention shows excellent explanatory power on carbon return. Moreover, we conduct several out-of-sample forecasts to explore the predictive power of investor attention. The results indicate that incorporating investor attention indeed improve the accuracy of out-of-sample forecasts both in short and long horizons and can generate significant economic values. All results demonstrate that investor attention is a non-negligible pricing factor in carbon market.

摘要

本文首先提出利用从谷歌趋势中获得的投资者注意力来解释和预测欧盟排放交易计划（EU-ETS）中的碳期货回报。我们的实证结果表明，投资者的注意力是碳回报变化的一个更重要的原因。此外，投资者的注意力对碳回报产生线性和非线性影响。结果表明，投资者的注意力对碳回报具有极好的解释力。此外，我们进行了几次样本外预测，以探索投资者注意力的预测能力。结果表明，纳入投资者的注意力确实可以提高短期和长期样本外预测的准确性，并且可以产生显着的经济价值。