Stress from attention: The relationship between climate change attention and crude oil markets

IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE
Boqiang Lin , Yiyang Chen , Xu Gong
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引用次数: 0

Abstract

Investors' focus on specific topics could translate into actual trading behavior, subsequently influencing market prices. Within the crude oil market, the issue of climate change risk arising from carbon emissions has garnered considerable attention recently, as investors' search behavior regarding this topic may impact crude oil prices. Based on the search information provided by Google, this paper employs quantile and quantile-on-quantile regression (QQR) methods to examine the relationship between investors' attention to climate change risk and crude oil futures price returns. The results reveal the following: (1) Simultaneous opposite correlations are observed, with a significantly positive relationship between attention and returns during high returns and a significantly negative relationship during periods of low returns. The correlation between the two exhibits considerable variation across different market performances. (2) A significant negative correlation exists mainly between attention to physical and opportunity risk and returns, while positive correlations exist mainly between attention to regulatory risk and returns. (3) Higher levels of climate change attention intensify these effects, as evidenced by an increase in the absolute value of the regression coefficients. The findings of this study can serve as a reference for investment institutions and policymakers in constructing investment portfolios and managing the impact of climate risk.

关注带来的压力:气候变化关注度与原油市场之间的关系
投资者对特定主题的关注可能转化为实际交易行为,进而影响市场价格。在原油市场上,由碳排放引起的气候变化风险问题最近引起了广泛关注,因为投资者对这一话题的搜索行为可能会影响原油价格。本文基于谷歌提供的搜索信息,采用量化回归和量化对量化回归(QQR)方法,研究了投资者对气候变化风险的关注与原油期货价格收益之间的关系。研究结果表明(1) 同时观察到相反的相关性,在高收益期间,关注度与收益之间存在显著的正相关关系,而在低收益期间,两者之间存在显著的负相关关系。两者之间的相关性在不同的市场表现中表现出相当大的差异。(2) 关注有形风险和机会风险与回报之间主要存在明显的负相关关系,而关注监管风险与回报之间主要存在正相关关系。(3) 对气候变化的关注程度越高,这些影响就越大,回归系数绝对值的增加就证明了这一点。本研究的结论可为投资机构和政策制定者构建投资组合和管理气候风险的影响提供参考。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
5.70
自引率
2.40%
发文量
53
期刊介绍: The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
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