Economics at your fingertips  

How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis

Qitong Chen, Huiming Zhu, Dongwei Yu and Liya Hau

The North American Journal of Economics and Finance, 2022, vol. 59, issue C

Abstract: This paper studies the time–frequency, nonlinear quantile relationship between investor attention (GSVI) and crude oil over the period from January 2000 to April 2020. To do so, the wavelet coherency, wavelet-based causality-in-quantiles test and quantile-on-quantile method are employed. The results indicate that first, the correlation between investor attention and crude oil is relatively high, and the highly correlated regions are concentrated from 8 to 16 months. In most cases, the GSVI is negatively correlated with the crude oil market. Additionally, under extreme market conditions, the explanatory ability is stronger than in the normal market, and it is greater in the low-frequency domain than in the high-frequency domain. Finally, investor attention has an apparent asymmetric impact on crude oil prices and returns at each scale, displaying a positive effect on the low quantiles of crude oil but a negative effect on the high quantiles across all quantiles of the GSVI. In the short term, when crude oil prices and returns are in a bear market, the larger volume of the GSVI has a greater impact on them. Moreover, the impact becomes greatest under extreme market conditions.

Keywords: Investor attention; Crude oil; Time–frequency; Causality-in-quantiles test; Quantile-on-quantile regression (search for similar items in EconPapers)
JEL-codes: C14 C22 F20 G10 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.najef.2021.101581

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2022-11-12
Handle: RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001844