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

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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.

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Author information

Authors and Affiliations

  1. Donlinks School of Economics and Management, University of Science and Technology Beijing, Beijing, 100083, China

    Xin Li

  2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China

    Xun Zhang & Shouyang Wang

  3. School of Economics and Management, University of Chinese Academy of Sciences, Beijing, 100190, China

    Shouyang Wang

  4. Department of Information Systems, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China

    Jian Ma

Authors
  1. Xin Li
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  2. Xun Zhang
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  3. Shouyang Wang
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  4. Jian Ma
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Corresponding author

Correspondence to Xun Zhang.

Additional information

This research was supported by the National Natural Science Foundation of China under Grant Nos. 71422015, 71601021, 71101142 and Youth Innovation Promotion Association, Chinese Academy of Sciences. The authors also thank support from National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences.

This paper was recommended for publication by Editor YANG Cuihong.

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Li, X., Zhang, X., Wang, S. et al. Attention Matters: An Exploration of Relationship Between Google Search Behaviors and Crude Oil Prices. J Syst Sci Complex 32, 1438–1459 (2019). https://doi.org/10.1007/s11424-019-7257-6

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  • DOI: https://doi.org/10.1007/s11424-019-7257-6

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