How does investor attention affect international crude oil prices?
Yue-Jun Zhang () and
Applied Energy, 2017, vol. 205, issue C, 336-344
In order to investigate the impacting mechanism of investors’ attention and crude oil prices, we construct a direct, timely and unambiguous proxy for investor attention in crude oil market by aggregating the Google search volume index (GSVI). Based on the GSVI, we employ the Structural Vector Autoregression (SVAR) model to empirically explore the impact of investor attention on WTI crude oil price from January 2004 to November 2016. The results indicate that: (1) investor attention does have significant negative impact on WTI crude oil price during the sample period; (2) investor attention shocks contributes 15% to the long-run fluctuation of WTI crude oil price during the sample period, which is second only to that of supply shocks (69%) among the contributors concerned; and (3) when the business cycle stays in expansion, it has positive influence on both investor attention and WTI crude oil price. Meanwhile, our robustness check, using Brent crude oil price and a different construction form of the GSVI, confirms that the central results are reliable.
Keywords: Investor attention; Crude oil prices; GSVI; Principal component analysis; Structural VAR (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:appene:v:205:y:2017:i:c:p:336-344
Ordering information: This journal article can be ordered from
http://www.elsevier. ... 405891/bibliographic
Access Statistics for this article
Applied Energy is currently edited by J. Yan
More articles in Applied Energy from Elsevier
Bibliographic data for series maintained by Haili He ().