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

被引：56
|
作者：
Li, Sufang [1 ]
Zhang, Hu [1 ]
Yuan, Di [2 ]
机构：
[1] Zhongnan Univ Econ & Law, Sch Stat & Math, Wuhan, Peoples R China
[2] Hunan Univ, Coll Finance & Stat, Changsha, Peoples R China
来源：
ENERGY ECONOMICS | 2019年 / 84卷
基金：
中国国家自然科学基金;
关键词：
Investor attention; Crude oil returns; Granger causality; Nonlinear; Fourier unit root; STOCK-MARKET; VOLATILITY; COINTEGRATION; SHOCKS; TRANSMISSION; SENTIMENT; RETURNS;
D O I：
10.1016/j.eneco.2019.104494
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2019 Elsevier B.V. All rights reserved.
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页数：12
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