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Attention Matters: An Exploration of Relationship Between Google Search Behaviors and Crude Oil Prices
Li Xin1; Zhang Xun2; Wang Shouyang2,3; Ma Jian4
2019-10-01
Source PublicationJOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN1009-6124
Volume32Issue:5Pages:1438-1459
AbstractExtant studies have suggested that Google search volume data can serve as a new and direct measure of investor attention in various research fields such as economy, financial and energy markets. However, it is not clear that whether investor attention influences prices in the same direction in different market states (prices increase or decrease). In this paper, the authors propose a measure of speculative attention, demonstrate its advantages by comparing it with several existing ones, and then adopt a Markov switching autoregressive model and an EGARCH model to examine its influences on crude oil prices in two market states. It is argued that the responses of crude oil prices to investor attention are asymmetrical in the two states of crude oil prices. The empirical study shows that one increase in searches causes a significant positive increase in crude oil prices during oil price surges, and a more significant reduction of prices during oil price collapses. The authors also conduct robustness checks by limiting the sample periods and using other measures, and the results support the asymmetric effect of web search behaviors on crude oil prices.
KeywordAsymmetric response crude oil prices Google search investor attention Markov switching autoregressive model
DOI10.1007/s11424-019-7257-6
Language英语
Funding ProjectNational Natural Science Foundation of China[71422015] ; National Natural Science Foundation of China[71601021] ; National Natural Science Foundation of China[71101142] ; Youth Innovation Promotion Association, Chinese Academy of Sciences ; National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences
WOS Research AreaMathematics
WOS SubjectMathematics, Interdisciplinary Applications
WOS IDWOS:000490596900013
PublisherSPRINGER HEIDELBERG
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/35772
Collection系统科学研究所
Affiliation1.Univ Sci & Technol Beijing, Donlinks Sch Econ & Management, Beijing 100083, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
4.City Univ Hong Kong, Dept Informat Syst, Kowloon, Tat Chee Ave, Hong Kong, Peoples R China
Recommended Citation
GB/T 7714
Li Xin,Zhang Xun,Wang Shouyang,et al. Attention Matters: An Exploration of Relationship Between Google Search Behaviors and Crude Oil Prices[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2019,32(5):1438-1459.
APA Li Xin,Zhang Xun,Wang Shouyang,&Ma Jian.(2019).Attention Matters: An Exploration of Relationship Between Google Search Behaviors and Crude Oil Prices.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,32(5),1438-1459.
MLA Li Xin,et al."Attention Matters: An Exploration of Relationship Between Google Search Behaviors and Crude Oil Prices".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 32.5(2019):1438-1459.
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