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- W4283709738 abstract "The predictability of investor attention on oil price movement has become a rising concern in the frontiers of asset pricing but its asymmetric and dynamic effects has not researched yet. In this paper, we aim to validate these effects on oil return and volatility under different market conditions. To this end we first use intraday data to construct return and various volatility components and build a proxy index for investor attention by Google Search Volume Index, and then conduct the empirical studies under a hybrid nonparametric causality-in-quantiles framework of Balcilar et al. Our findings suggest that the existence of causality from investor attention to oil futures realized volatility can be found in the normal and bull markets, whereas the effect of investor attention on returns only appears accidentally in times of major political and economic events. To be more specific, the investor attention could predict oil continuous volatility components in all quantiles, but only cause small jumps in lower quantiles. Most notably, by decomposing realized semi variances and jump variation into negative and positive components respectively, the causal effect from investor attention to oil volatility is corroborated to be asymmetrical. Furthermore, investor attention exhibits strong predictive power over fat-tail and asymmetric risk (i.e., positive or negative skew) of oil returns. These aforementioned causal relationships are all time-varying." @default.
- W4283709738 created "2022-06-30" @default.
- W4283709738 creator A5019983466 @default.
- W4283709738 creator A5087187698 @default.
- W4283709738 date "2022-04-22" @default.
- W4283709738 modified "2023-09-27" @default.
- W4283709738 title "The asymmetric and time-varying predictability of investor attention on oil futures return dynamics" @default.
- W4283709738 cites W2128569377 @default.
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- W4283709738 doi "https://doi.org/10.1145/3529299.3530208" @default.
- W4283709738 hasPublicationYear "2022" @default.
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