經過幾十年的探索和發展，中國的商品期貨市場已經逐步成長為世界上最大的商品期貨交易市場之一。根據2017年美國期貨行業協會的統計，上海期貨交易所（SHFE），大連商品交易所（DCE），鄭州商品交易所（ZCE）的交易量分別位居世界第9，第10和第13位。更重要的是，中國的商品期貨市場已成為農產品合約交易的主導者，同時在金屬交易中也發揮著重要作用。從品種規模看，截至2017年，中國共有3傢商品期貨交易所和1傢金融期貨交易所，已上市55個期貨品種。2018年是中國期貨市場國際化的元年，一個里程碑就是原油期貨在上期所子公司上海國際能源交易中心上市。在最挑戰的國際化探索方面，原油期貨的上市不僅是一個產品創新，同時也是一個開放舉措。
因此，中國商品期貨市場也逐漸引起了學術界和學者們的高度重視。本研究將百度搜索指數作為散戶投資人關注度的代理變數，揭示了這種關注度對中國商品期貨市場的影響。首先，本研究發現異常百度搜索指數對16種商品期貨的報酬率和報酬率的波動性具有重要的影響，以及具有可預測性。其次，結果還檢驗了移動搜索的異常百度搜索指數是比PC搜索指數更有效的關注度指標。第三，本研究還提出了另外一種代理變數來作為散戶投資人關注度——股吧閱讀量。本研究發現股吧閱讀量也可以影響商品期貨市場的報酬率和報酬率的波動性，但它沒有預測能力。

After decades of exploration and development, China’s commodity futures market has significantly gradually growing into one of the world’s biggest commodity futures trading market. Thus, Chinese commodity futures market has drawn great attention from academics and practitioners to study which factors will impact the market. This study applies Baidu Search Index as a proxy for retail investor attention to reveal how the attention affects China’s commodity futures market.
First, this study finds that the abnormal Baidu Search Index has an important impact on return and volatility of 16 commodity futures and has the predictability. Second, results also examine that the abnormal Baidu Search Index from mobile searches is a more effective attention measure than PC searches. Third, this study provides another proxy as retail investor attention——Guba reading volume, it finds that Guba reading volume can also affect the return and volatility of the future market.

Content
論文審定書 i
摘要 ii
ABSTRACT iii
CONTENT iv
LISTS OF TABLES v
Chapter 1 INTRODUCTION 1
Chapter 2 LITERATURE REVIEW 4
Chapter 3 DATA 8
3.1 Commodity futures 8
3.2 Investor attention 9
3.3 Guba 12
Chapter 4 METHODOLOGY 14
4.1 Panel regression 14
4.2 Different devices 15
4.3 Robustness 16
4.4 Guba 18
Chapter 5 EMPIRICAL RESULTS 19
5.1 Panel regression 19
5.2 Different devices 21
5.3 Robustness 23
5.4 Guba 26
Chapter 6 CONCLUSION 28
REFERENCE 29
APPENDIX 32

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