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- W4306811893 abstract "As important information intermediaries, analysts play a non-negligible role in the crude oil market. Existing research often focuses on analysts' collection and interpretation of firm-specific information, but neglects the impact of analysts' forecasts on specific markets such as the crude oil market, which is crucial to the safe and stable development of the crude oil market. Therefore, this study uses historical data from January 2011 to December 2020 as a sample to construct analysts' forecast divergence indicators from 15 institutional analysts' forecast data on international crude oil futures prices. It then explores the impact of institutional analysts' forecast divergence on oil price return volatility, crude oil market jumps and crude oil futures trading volume, based on various mixed-frequency models. The results are as follows: First, volatility in oil price returns increases with a growing divergence in analysts' forecasts. Second, analysts' forecasts do not trigger jump in the crude oil market on the first six days after the information is released, but trigger a significant positive jump in the market on the seventh day. Third, the impact of analysts' forecast divergence on trading volume is weak; however, the reverse effect is significant, while the static and dynamic spillover results are consistent." @default.
- W4306811893 created "2022-10-20" @default.
- W4306811893 creator A5002188808 @default.
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- W4306811893 date "2022-11-01" @default.
- W4306811893 modified "2023-10-11" @default.
- W4306811893 title "The impact of institutional analyst forecast divergence on crude oil market: Evidence from the mixed frequency models" @default.
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- W4306811893 doi "https://doi.org/10.1016/j.irfa.2022.102418" @default.
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