کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5063657 | 1476698 | 2017 | 42 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Can investor attention predict oil prices?
ترجمه فارسی عنوان
آیا سرمایه گذاران توجه قیمت نفت را پیش بینی می کنند؟
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
چکیده انگلیسی
This paper sets out to investigate the predictive power of investor attention onto oil prices. We firstly construct investor attention index by using the Google search volume index (SVI) based on a broad set of words related to oil-related variables and terms that are directly linked to real economy to measure investor attention. Then the empirical work is performed via a novel hybrid approach and WN model (Westerlund and Narayan, 2012, 2014) that account for characteristics of persistency, endogeneity, and heteroskedasticity. The empirical results show that investor attention does exhibit statistically and economically significant in-sample and out-of-sample forecasting power to directly forecast oil prices for both daily data and weekly data. In addition, the results exhibit the term structure character, which are helpful for understanding the financial phenomena that irrational attentions have more effect in short-term decision-making.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 66, August 2017, Pages 547-558
Journal: Energy Economics - Volume 66, August 2017, Pages 547-558
نویسندگان
Liyan Han, Qiuna Lv, Libo Yin,