CSpace
attentionmattersanexplorationofrelationshipbetweengooglesearchbehaviorsandcrudeoilprices
Alternative TitleAttention Matters: An Exploration of Relationship Between Google Search Behaviors and Crude Oil Prices
Li Xin1; Zhang Xun2; Wang Shouyang2; Ma Jian3
2019
Source Publication系统科学与复杂性学报英文版
ISSN1009-6124
Volume000Issue:005Pages: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.
Other 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.
Indexed ByCSCD
Language中文
Funding Project[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 IDCSCD:6663742
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/51314
Collection中国科学院数学与系统科学研究院
Affiliation1.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
Recommended Citation
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.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Li Xin]'s Articles
[Zhang Xun]'s Articles
[Wang Shouyang]'s Articles
Baidu academic
Similar articles in Baidu academic
[Li Xin]'s Articles
[Zhang Xun]'s Articles
[Wang Shouyang]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Li Xin]'s Articles
[Zhang Xun]'s Articles
[Wang Shouyang]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.