Does online investor attention drive the co-movement of stock-, commodity-, and energy markets? Insights from Google searches

Philipp Prange

Energy Economics, 2021, vol. 99, issue C

Abstract: Online investor attention, measured by Google searches, may provide valuable information for the assessment of the co-movement between financial assets. In our empirical analysis, we draw upon an extension of the dynamic conditional correlation model and find that online investor attention is a statistically significant determinant of the time-varying correlations between stocks and gold-, silver-, crude oil-, and natural gas future contracts. Our results, relying on daily data over almost six years, contribute to our understanding of how online investor attention impacts the linkage between financial markets under different conditions. Taking a practical point of view, we demonstrate that the informational content of Google searches may marginally increase the hedging effectiveness of combined portfolios.

Keywords: Investor attention; Google search volume; Dynamic conditional correlation; Hedging effectiveness (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001870

DOI: 10.1016/j.eneco.2021.105282

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