Does online investor attention drive the co-movement of stock-, commodity-, and energy markets? Insights from Google searches

被引：18

作者：

Prange, Philipp ^{[1
]}

机构：

[1] Zeppelin Univ, Seemoser Horn 20, D-88045 Friedrichshafen, Germany

来源：

ENERGY ECONOMICS | 2021年 / 99卷 / 99期

关键词：

Investor attention; Google search volume; Dynamic conditional correlation; Hedging effectiveness; OIL PRICE SHOCKS; DYNAMIC CONDITIONAL CORRELATION; VOLATILITY SPILLOVERS; PRECIOUS METALS; RETURNS; GOLD; HETEROSKEDASTICITY; TRANSMISSION; MANAGEMENT; SECTOR;

D O I：

10.1016/j.eneco.2021.105282

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Online investor attention, measured by Google searches, may provide valuable information for the assessment of the co-movement between financial assets. In our empirical analysis, we draw upon an extension of the dynamic conditional correlation model and find that online investor attention is a statistically significant determinant of the time-varying correlations between stocks and gold-, silver-, crude oil-, and natural gas future contracts. Our results, relying on daily data over almost six years, contribute to our understanding of how online investor attention impacts the linkage between financial markets under different conditions. Taking a practical point of view, we demonstrate that the informational content of Google searches may marginally increase the hedging effectiveness of combined portfolios. (c) 2021 Elsevier B.V. All rights reserved.

引用

页数：9

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