有研究表明投资者关注度对金融市场的影响将在短期内立即显现, 文章突破以往研究的局限性, 立足高频视角, 从收益率与波动率两个方面全面考察投资者关注度对黄金期货市场的影响. 更进一步, 将已实现波动率分解为连续波动和跳跃波动, 探究投资者关注度对连续和跳跃波动的影响差异. 研究结果表明: 1)投资者关注度对黄金期货市场收益率和波动率都具有显著影响, 投资者关注度的增加在短期内会导致黄金期货市场收益率增加以及市场波动率的加剧. 2)投资者关注度对黄金期货市场收益率和波动率的影响都不具有持续性, 长期来看, 市场的自我调整能力会让黄金价格逐渐趋于理性和平稳. 3)投资者关注度主要是通过连续波动影响黄金期货市场.

Studies have shown that the impact of investor attention on the financial market will appear immediately in the short term. This paper breaks through the limitations of previous research and based on a high-frequency perspective, and comprehensively examines the impacts of investor attention on gold market from two aspects of return and volatility. Furthermore, the realized volatility is decomposed into continuous and jump volatility, and the difference in the impact of investor attention on continuous and jump volatility is further explored. The results show that: 1) Investor attention has an influence on both the return and volatility of the gold futures market. An increase in investor attention will lead to more return of the gold futures market and intensified market volatility in the short term. 2) The impact of investor attention on the return and volatility of the gold futures market is not sustainable. In the long run, the market's self-adjustment ability will gradually make gold prices more rational and stable. 3) The gold futures market is mainly affected by the continuous volatility of investors' attention.