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Title: Oil shocks and investor attention
Authors: Bampinas, Georgios
Panagiotidis, Theodore
Papapanagiotou, Georgios
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Economics
FRASCATI::Social sciences::Economics and Business::Finance
Keywords: Search volume index
Investor attention
Oil price
Stock market
Policy uncertainty
Time-varying parameter VAR
Stochastic volatility
Dynamic factor model
Issue Date: Feb-2023
Publisher: Elsevier
Source: The Quarterly Review of Economics and Finance
Volume: 87
First Page: 68
Last Page: 81
Abstract: In this paper, we examine the existence of sentiment exposure in oil price returns. We augment the SVAR model of Kilian and Park (International Economic Review, 2009, 50, 1267–1287) by including the effects of (1) investors sentiment proxied by Google’s search volume index, (2) economic policy uncertainty (EPU) and (3) time variation in both coefficients and the variance-covariance matrix. Our empirical results show that changes in investor attention do exhibit a significant long-lasting impact on oil and stock market returns. Aggregate oil demand and supply shocks have a transitory effect on investor sentiment. We reveal that the impact of EPU is temporary and significant, while EPU responds strongly to shocks on oil prices and stock market returns. In all cases, the magnitude and sign of responses are affected by the timing of the shock. Our findings are robust to an alternative sentiment indicator and once the role of oil inventories is considered.
ISSN: 1062-9769
Other Identifiers: 10.1016/j.qref.2022.11.006
Appears in Collections:Department of Economics

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