attentionmattersanexplorationofrelationshipbetweengooglesearchbehaviorsandcrudeoilprices

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	attentionmattersanexplorationofrelationshipbetweengooglesearchbehaviorsandcrudeoilprices
其他题名	Attention Matters: An Exploration of Relationship Between Google Search Behaviors and Crude Oil Prices
	Li Xin 1; Zhang Xun 2; Wang Shouyang 2; Ma Jian 3
	2019
发表期刊	系统科学与复杂性学报英文版
ISSN	1009-6124
卷号	000 期号:005 页码:1438-1459
摘要	Extant 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.
其他摘要	Extant 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.
收录类别	CSCD
语种	中文
资助项目	[National Natural Science Foundation of China] ; [Youth Innovation Promotion Association, Chinese Academy of Sciences] ; [National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences]
CSCD记录号	CSCD:6663742
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51314
专题	中国科学院数学与系统科学研究院
作者单位	1.河北经贸大学经济管理学院 2.中国科学院数学与系统科学研究院 3.香港城市大学
推荐引用方式 GB/T 7714	Li Xin,Zhang Xun,Wang Shouyang,et al. attentionmattersanexplorationofrelationshipbetweengooglesearchbehaviorsandcrudeoilprices[J]. 系统科学与复杂性学报英文版,2019,000(005):1438-1459.
APA	Li Xin,Zhang Xun,Wang Shouyang,&Ma Jian.(2019).attentionmattersanexplorationofrelationshipbetweengooglesearchbehaviorsandcrudeoilprices.系统科学与复杂性学报英文版,000(005),1438-1459.
MLA	Li Xin,et al."attentionmattersanexplorationofrelationshipbetweengooglesearchbehaviorsandcrudeoilprices".系统科学与复杂性学报英文版 000.005(2019):1438-1459.