Oil price volatility and oil-related events: An Internet concern study perspective

Qiang Ji and Jian-Feng Guo

Applied Energy, 2015, vol. 137, issue C, 256-264

Abstract: Oil-related events have increased the uncertainty and complexity of the worldwide oil market. This paper investigates the effects of four types of oil-related events on world oil prices, using an event study methodology and an AR-GARCH model. The Internet information concerning these events, which is derived from search query volumes in Google, is introduced in an analytical framework to identify the magnitude and significance of the market response to oil-related events. The results indicate that world oil prices responding to different oil-related events display obvious differentiation. The cumulative abnormal returns, which reflect the influence of the global financial crisis, tend to drop first and then reverse and rise, while the cumulative abnormal returns induced by other oil-related events present a stronger persistent effect. The impact of the global financial crisis on oil price returns is significantly negative, while the impact of the Libyan war and hurricanes is significantly positive. However, the reactions of oil price returns to different OPEC production announcements are inconsistent.

Keywords: Oil price volatility; Event analysis; Information transmission; Internet (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (96)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:appene:v:137:y:2015:i:c:p:256-264

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DOI: 10.1016/j.apenergy.2014.10.002

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