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Investor attention and oil market volatility: Does economic policy uncertainty matter?

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  • Xiao, Jihong
  • Wang, Yudong

Abstract

This paper aims to investigate the impact of investor attention on the oil market volatility by using the Google search volume index as the measurement of investor attention. In particular, we decompose aggregate volatility into good volatility and bad volatility to gain a deeper insight into this issue. Additionally, we discuss whether the relationship between investor attention and oil market volatility changes with the adjustment of economic policy uncertainty in G7 and BRIC. The empirical results show that changes in investor attention mainly affect bad volatility rather than good volatility, and this impact is positive, symmetric, and transient. Interestingly, this impact can also lead to changes in future oil prices through the volatility feedback effect channel. Moreover, we find that the economic uncertainty policy can enhance the positive relationship between investor attention and bad volatility, but this relationship seems to be only sensitive to economic policy uncertainty in the US and Canada

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  • Xiao, Jihong & Wang, Yudong, 2021. "Investor attention and oil market volatility: Does economic policy uncertainty matter?," Energy Economics, Elsevier, vol. 97(C).
    • Handle: RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000852
    DOI: 10.1016/j.eneco.2021.105180
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    More about this item

    Keywords

    Investor attention; Oil market volatility; Good and bad volatilities; Economic policy uncertainty;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy

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