Panel A: Granger causality test result for robustness check

Investor attention is not the Granger cause of corn futures price

2.7480*

Corn futures price is not the Granger cause of investor attention

3.8201**

Panel B: VAR analysis

$Y_t$

$AT{T}_t$

$Y_{t-1}$

0.20057***

0.91855

$Y_{t-2}$

−0.02412

1.56713*

$AT{T}_{t-1}$

−0.00036

0.25309***

$AT{T}_{t-2}$

−0.01233***

−0.18423***

intercept

0.00166**

−0.01228

$R^2$

0.0709

0.1043