How does Google search affect trader positions and crude oil prices?
文献类型：期刊论文
| 作者 | Li, Xin1; Ma, Jian2; Wang, Shouyang3 ; Zhang, Xun3
|
| 刊名 | ECONOMIC MODELLING
 |
| 出版日期 | 2015-09-01 |
| 卷号 | 49页码:162-171 |
| 关键词 | Internet-based data Google search volume index Crude oil price Granger causality Trader positions |
| ISSN号 | 0264-9993 |
| DOI | 10.1016/j.econmod.2015.04.005 |
| 英文摘要 | Novel data series constructed from Internet-based platforms such as Google have been widely applied to analyze economic and financial indicators and have been demonstrated to be effective in short-term forecasts. However, few studies have demonstrated the role of Google search data in analyzing trader positions and energy price volatility. This paper uses the Google search volume index (GSVI) to measure investor attention, and investigate the relationships among the GSVI, different trader positions, and crude oil prices from January 2004 to June 2014. The empirical results present some new evidences. First, the GSVI measures investor attention from noncommercial and nonreporting traders, rather than commercial traders. Second, the feedback loop between GSVI and crude oil price is verified. Third, the GSVI improves the forecast accuracy of crude oil price in recursive one-week-ahead forecasts. This paper contributes to existing literature by incorporating open source Internet-based data into the analysis and prediction of crude oil prices, as well as other prices in financial markets in the Big Data Era. (C) 2015 Elsevier B.V. All rights reserved. |
| 资助项目 | National Natural Science Foundation of China (NSFC)[71422015] ; National Natural Science Foundation of China (NSFC)[71101142] ; Grant of City University of Hong Kong[9040678] |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000357756600015 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/20306]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Zhang, Xun |
| 作者单位 | 1.Univ Chinese Acad Sci, Sch Management, Beijing, Peoples R China 2.City Univ Hong Kong, Dept Informat Syst, Kowloon, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Li, Xin,Ma, Jian,Wang, Shouyang,et al. How does Google search affect trader positions and crude oil prices?[J]. ECONOMIC MODELLING,2015,49:162-171. |
| APA | Li, Xin,Ma, Jian,Wang, Shouyang,&Zhang, Xun.(2015).How does Google search affect trader positions and crude oil prices?.ECONOMIC MODELLING,49,162-171. |
| MLA | Li, Xin,et al."How does Google search affect trader positions and crude oil prices?".ECONOMIC MODELLING 49(2015):162-171. |
入库方式： OAI收割
来源：数学与系统科学研究院
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