| Crude oil is an international commodity and an important strategic resource.Its price fluctuations have a major impact on economic growth,financial market stability,and national security.Crude oil has attracted the attention of various countries as a strategic material.At the same time,crude oil has also attracted the attention of investors as a financial commodity,so the price fluctuation of crude oil has attracted the attention of all parties.However,there are many factors that affect the price of crude oil.These factors that affect the price of crude oil will be transmitted to the crude oil market in the form of information and will eventually be reflected in the price of crude oil.The efficient market hypothesis believes that when new information arrives in the crude oil market,the information will be immediately reflected in the price of crude oil,but this is an ideal situation.In this case,investors are required to pay enough attention to the distribution of crude oil in order to be able to deal with new information in the market in a timely manner.But in real life,investors 'attention is a scarce resource,so that investors can only deal with limited information,so investors' attention will likely affect the price of crude oil.Many scholars have studied the impact of investor attention on asset prices,but the huge challenge these studies will face is: investor attention is an abstract concept,there is no direct measurement indicator,and some scholars use excess returns,news volume,and transaction volume Such indirect proxy variables are difficult to accurately measure investor attention.But with the advancement of science and the continuous development of the Internet,people can now actively search for the information they want through the search engine every day.Search engines have become an important way for people to obtain information,and Google Trends reflects the search trends for specific keywords.When investors care about the market of the crude oil market,they will also search relevant information of the crude oil market through Google,and the search behavior of investors using Google will be reflected in Google Trends.Therefore,Google Trends can provide us with relatively direct investor-focused proxy indicators.As an important part of the energy market,the crude oil futures market has received widespread attention from all parties in the market,and investors' attention will also have an impact on the crude oil futures market.Therefore,this article uses Google Trends as a proxy variable for investors to explore the impact of investors' attention on the crude oil futures market.Investors pay attention to the investment decisions that affect investors,so that investors can trade in the market.Therefore,it is also necessary to examine how investors' concerns and trading behaviors affect the price and volatility of the crude oil futures market.Through empirical research,the following conclusions were found:First,this article uses Granger causality test to study whether investor attention will cause trading behavior,and analyzes what type of trader's investor attention is captured by the search index.The empirical results show that there is a two-way Granger causality between investor attention and transaction volume change,while the change in position volume will unilaterally affect investor attention,indicating that investor attention will cause transactions to occur.Further analysis shows that the search index captures the concerns of non-commercial traders,not commercial traders and non-reporting traders.Second,this article uses quantile regression and exogenous variable GARCH models to explore the impact of investor attention on crude oil futures yields and volatility,respectively.The empirical results show that the investor attention has different effects on the yield in different market conditions.When the market conditions are good,investors pay attention to the positive impact on the yield,and vice versa.In addition,the impact of changes in investor attention and abnormal investor attention on yields in different markets is asymmetric,and the impact in the low quantile is greater than in the high quantile.At the same time,this article finds that investors' attention has a significant positive effect on the volatility of the crude oil futures market.Finally,using the SVAR model,quantile regression and exogenous variable GARCH model to explore the impact of trading behavior on crude oil futures yields and volatility and investor attention and trading behavior on crude oil futures yield and volatility.The results show that changes in trading volume have a negative impact on crude oil futures returns,and changes in open positions have a positive impact on returns but not significant.The change in trading volume has a positive effect on the volatility of crude oil futures,and the change in position has a negative effect on the volatility of crude oil futures.Moreover,the positive impact of volume changes on volatility is mainly caused by unexpected volume changes,and the impact of volume changes on volatility is mainly caused by expected volume changes.When comprehensively considering the impact of investor attention and trading behavior on the crude oil futures market,it is found that the direct impact of investor attention on crude oil futures volatility is negative,because investor attention will increase the efficiency of the crude oil futures market and reduce market volatility.By analyzing the changes in the regression coefficients of investor attention,investor attention change,abnormal investor attention and trading volume change,it is found that investor attention,investor attention change,and abnormal investor attention to crude oil market returns and volatility The impact of the rate has a direct impact,but also an indirect impact caused by trading behavior. |
PDF Full Text Request