Attention to oil prices and its impact on the oil, gold and stock markets and their covariance

Piotr Fiszeder (), Marcin Fałdziński and Peter Molnár

Energy Economics, 2023, vol. 120, issue C

Abstract: This paper studies the impact of investor attention to oil prices on returns, volatility, and covariances of three exchange traded funds representing oil, gold, and the stock market. For this purpose, we suggest a new multivariate volatility model based on open, high, low, and closing prices that incorporates the impact of investor attention on returns, volatility, and covariances. We find that this model, which incorporates Google searches for “oil prices” as an exogeneous variable, outperforms other considered multivariate volatility models, and demonstrates that Google searches for “oil prices” can explain and forecast covariances between returns of oil, gold, and the stock market.

Keywords: Volatility; Google searches; Oil; Dynamic conditional correlation; High-low range; Covariance forecasting (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:120:y:2023:i:c:s014098832300141x

DOI: 10.1016/j.eneco.2023.106643

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