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Journal of Systems Science and Complexity

, Volume 32, Issue 5, pp 1438–1459 | Cite as

Attention Matters: An Exploration of Relationship Between Google Search Behaviors and Crude Oil Prices

  • Xin Li
  • Xun ZhangEmail author
  • Shouyang Wang
  • Jian Ma
Article
  • 17 Downloads

Abstract

Extant studies have suggested that Google search volume data can serve as a new and direct measure of investor attention in various research fields such as economy, financial and energy markets. However, it is not clear that whether investor attention influences prices in the same direction in different market states (prices increase or decrease). In this paper, the authors propose a measure of speculative attention, demonstrate its advantages by comparing it with several existing ones, and then adopt a Markov switching autoregressive model and an EGARCH model to examine its influences on crude oil prices in two market states. It is argued that the responses of crude oil prices to investor attention are asymmetrical in the two states of crude oil prices. The empirical study shows that one increase in searches causes a significant positive increase in crude oil prices during oil price surges, and a more significant reduction of prices during oil price collapses. The authors also conduct robustness checks by limiting the sample periods and using other measures, and the results support the asymmetric effect of web search behaviors on crude oil prices.

Keywords

Asymmetric response crude oil prices Google search investor attention Markov switching autoregressive model 

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Copyright information

© The Editorial Office of JSSC & Springer-Verlag GmbH Germany 2019

Authors and Affiliations

  1. 1.Donlinks School of Economics and ManagementUniversity of Science and Technology BeijingBeijingChina
  2. 2.Academy of Mathematics and Systems ScienceChinese Academy of SciencesBeijingChina
  3. 3.School of Economics and ManagementUniversity of Chinese Academy of SciencesBeijingChina
  4. 4.Department of Information SystemsCity University of Hong KongKowloon, Hong KongChina

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