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.

Based on the prices selected from European Energy Exchange (EEX) from 2013 to 2018, we investigate the inter-correlation of carbon spot and futures markets. Specifically, we adopt the widely used DCC-GARCH model and VAR-BEKK-GARCH model to conduct a comprehensive analysis on the carbon market, i.e., the dynamic correlation and volatility spillover between carbon spot and carbon futures. Moreover, we develop a hedge strategy based on the VAR-BEKK-GARCH model and calculate the hedging effectiveness (HE) value to evaluate the strategy performance. The empirical results show that (i) during our sample period, carbon spot and futures markets are highly correlated, (ii) carbon spot overflows to the futures market and vice versa, and (iii) the HE value is equal to 0.9370, indicating a good performance for the hedging strategy. Then, we provide further discussion on the relationship between carbon spot and futures markets by replacing our dataset with the data of phase II. The results do not change our conclusions on the dynamic correlation and volatility spillover. However, the HE value of phase III is higher than that of phase II, which indicates that the carbon futures market of phase III is not only an available market to hedge risk from the contemporaneous carbon spot market but also has a better hedge effectiveness than phase II.

This study performed comprehensive investigations of the complex interconnections between investor attention and cotton futures price volatility under different term structures. In this paper, in-sample analysis, out-of-sample forecast, influencing mechanisms, as well as nonlinear connections are fully explored using several linear model specifications. The results can be summarized as follows: first, investor attention is the Granger causality of the cotton futures volatility and shows significant linear impacts on cotton volatility; second, models incorporated with investor attention significantly improve the prediction accuracy of cotton volatility in the long term compared with the commonly used AR benchmark model; third, the influence of investor attention on cotton volatility may occur through open interest; and fourth, investor attention presents nonlinear impacts on cotton volatility as well. Overall, the results of this article can provide strong supporting evidence for the important roles of investor attention in asset pricing applications.

As the grassroots-party organizations of the Communist Party of China (CPC) are increasingly involved in the governance of private-owned enterprises (POEs), whether this new pattern promotes corporate innovation is still a research gap. Therefore, based on the data of 1357 POEs’ party-organization involvements and their patent applications from 2003 to 2017, this paper analyzes the impact of the party-organization involvements on corporate innovation by using the multiple regression model. The results include: (1) party-organization involvements including party organization activities and senior executives’ participation can significantly promote innovation, especially after 2012; (2) party-organization activities improve innovation by increasing research and development (R&D) investment and reducing operating risk, while the senior executives’ participation only influences on R&D investment; (3) the party-organization involvements have a stronger promotion on non-invention patent applications, especially for the utility-model-patent applications, than invention-patent applications; (4) the promotion is more pronounced for family businesses, technology-intensive and capital-intensive enterprises, as well as those located in the northern, Beijing-Tianjin-Hebei region and Yangtze River delta. After applying PSM sampling and difference-in-differences (DID) analyses, and substituting the dependent variables, the results remain robust. This paper provides Chinese evidence for party construction and corporate innovation, and also provides references about political connection and corporate innovation for other countries to some extent.