Attention to oil prices and its impact on the oil, gold and stock markets and their covariance
Peer reviewed, Journal article
Published version
Date
2023Metadata
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Original version
Fiszeder, P., Fałdziński, M. & Molnar, P. (2023) Attention to oil prices and its impact on the oil, gold and stock markets and their covariance. Energy Economics, 120, 106643 10.1016/j.eneco.2023.106643Abstract
This paper studies the impact of investor attention to oil prices on returns, volatility, and covariances of three exchange traded funds representing oil, gold, and the stock market. For this purpose, we suggest a new multivariate volatility model based on open, high, low, and closing prices that incorporates the impact of investor attention on returns, volatility, and covariances. We find that this model, which incorporates Google searches for “oil prices” as an exogeneous variable, outperforms other considered multivariate volatility models, and demonstrates that Google searches for “oil prices” can explain and forecast covariances between returns of oil, gold, and the stock market.