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Investor attention and crude oil prices: Evidence from nonlinear Granger causality tests

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  • Li, Sufang
  • Zhang, Hu
  • Yuan, Di

Abstract

Using the Google search volume index (GSVI) to measure investor attention, this paper investigates the relationships between investor attention and crude oil prices for the main crude oil markets worldwide. To account for possible structural breaks and nonlinearity in the relation between investor attention and oil returns, Fourier unit root test and nonlinear Granger causality tests are employed. The empirical results suggest that the bidirectional nonlinear Granger causality exists only between investor attention and WTI future crude oil return. However, WTI crude oil return Granger-causes investor attention weakly. For Dubai spot, Daqing spot, WTI spot and Brent future oil markets, unidirectional nonlinear Granger causality runs from investor attention to oil returns, which is relatively weak.

Suggested Citation

  • Li, Sufang & Zhang, Hu & Yuan, Di, 2019. "Investor attention and crude oil prices: Evidence from nonlinear Granger causality tests," Energy Economics, Elsevier, vol. 84(C).
    • Handle: RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302750
    DOI: 10.1016/j.eneco.2019.104494
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    More about this item

    Keywords

    Investor attention; Crude oil returns; Granger causality; Nonlinear; Fourier unit root;
    All these keywords.

    JEL classification:

    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • P43 - Political Economy and Comparative Economic Systems - - Other Economic Systems - - - Finance; Public Finance

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