Research About Emergency On Crude Oil Price Volatility Under Considering WEB Search Data

With the rapid development of economy,crude oil is becoming more and more prominent in national economy.In recent years,with the frequent occurrence of various types of emergencies,the price of crude oil has been extremely volatile.China's huge demand for oil and high import dependency,make oil production and import supply of China all face greater risks of safety.Assess the impact of unexpected events occurred on oil prices correctly,and speculate the influence of emergencies may happen in the future,play an extremely important role in determining future price movements and reducing security risks.In recent years,the internet,especially the development of mobile internet,accelerate the informationization penetrating in every aspect of social economy and daily life.At present,our society has entered an era of big data with rapid development of information technology,and search engine has become a very important channel for investors to obtain information.Search engine records user's search behavior,and web search data reflects the degree of concern on events.With the advantages of low cost and timeliness,web search data provides a lot of help for the prediction in all walks of life,and has been widely applied to prediction of social economic activities.Good results have achieved,and the feasibility is confirmed.Based on this,the web search data are included in the analysis framework of this paper.Firstly,we analyze the current situation of China's oil market supply,demand,import and risk issues,and then the analytical framework of this study is established,which lays the foundation for further analysis;Secondly,by using the structural breakpoints method and the latest WTI monthly data of crude oil spot price,the new crude oil price break points are determined and international crude oil price trend and fluctuation characteristics are analyzed;Again,the traditional event analysis method is improved based on web search data,to investigate the four typical events in the history of whether have a significant impact on abnormal return rates of crude oil price in the event window,and to analyze their relationships with crude oil price volatility;Finally,the autoregressive distributed lag model and GARCH model are established,we use the network popularity index of specific emergency to explain crude oil price volatility,and their influences are effectively measured and monitored.It is found that major emergencies have significant short-term impacts on international oil markets,as the impacts on cumulative excess return of event window are significant.Market concerns can exacerbate the impact of emergencies on oil market,the four emergency network search attention all have significant impacts on crude oil prices.The market attention of hurricane Katrina and Libya war have positive effects on crude oil prices,while the influence of the U.S.subprime crisis and the oil spill in Gulf of Mexico are negative.The U.S.subprime mortgage crisis has the biggest impact extent and duration.During the Libya war,the crude oil price volatility has a significant GARCH effect.The half-life of the Libya war on oil market is 1?2 days,and the influence degree presents a marginal decreasing trend.