کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5063588 | 1476697 | 2017 | 11 صفحه PDF | دانلود رایگان |
- Google Search Volume (GSV) is shown to have additional predictive power for energy price volatility.
- We interpret the GSV as a proxy for investors attention.
- A long list of energy-related keywords is filter based on their predictive power.
- The term “crude oil” is a common GSV with high predictive power for several energy prices.
Internet search activity data has been widely used as an instrument to approximate trader attention in different markets. This method has proven effective in predicting market indices in the short-term. However, little attention has been paid to demonstrating search activity for keywords that best grab investor attention in different markets. This study attempts to build the best practically possible proxy for attention in the market for energy commodities using Google search data. Specifically, we confirm the utility of Google search activity for energy related keywords are significant predictors of volatility by showing they have incremental predictive power beyond the conventional GARCH models in predicting volatility for energy commodities' prices. Starting with a set of ninety terms used in the energy sector, the study uses a multistage filtering process to create combinations of keywords that best predict the volatility of crude oil (Brent and West Texas Intermediate), conventional gasoline (New York Harbor and US Gulf Coast), heating oil (New York Harbor), and natural gas prices. For each commodity, combinations that enhance GARCH most effectively are established as proxies of attention. The results indicate investor attention is widely reflected in Internet search activities and demonstrate search data for what keywords best reveal the direction of concern and attention in energy markets.
Journal: Energy Economics - Volume 67, September 2017, Pages 17-27