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Crude Oil Price Fluctuation Analysis Under Considering Emergency and Network Search Data
Global Challenges ( IF 4.4 ) Pub Date : 2020-10-08 , DOI: 10.1002/gch2.202000051 Wan-Qiang Dai 1 , Wei Pan 2 , Yongdong Shi 3 , Cheng Hu 1 , Wulin Pan 1 , Ge Huang 1
Global Challenges ( IF 4.4 ) Pub Date : 2020-10-08 , DOI: 10.1002/gch2.202000051 Wan-Qiang Dai 1 , Wei Pan 2 , Yongdong Shi 3 , Cheng Hu 1 , Wulin Pan 1 , Ge Huang 1
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With the rapid development of the global economy, crude oil is becoming more and more prominent in terms of national stability. However, oil prices dramatically fluctuate during emergencies. Meanwhile, network search data have been widely used for prediction during the era of big data. Herein, a suggestion is introduced for improving the traditional case analysis. An autoregressive distributed lag model is established, considering emergency and network search data. Moreover, a network attention index of specific emergencies is used to explain fluctuations of the oil price and the influence of this attention is analyzed. Results show: 1) major emergencies have a significant short‐term impact on the international oil market and a remarkable influence on the cumulative abnormal return of an event window, and 2) market attention can aggravate fluctuations of oil prices. It is found that the individual network attention paid to each of four emergencies has a significant impact on oil prices. The network attention related to Hurricane Katrina and the Libyan war has positive effects on oil prices. However, the effects of network attention paid to the subprime crisis and the Mexico oil spill of 2010 are negative. The attention paid to the subprime crisis has both the greatest and the longest lasting impact.
中文翻译：
考虑紧急情况和网络搜索数据的原油价格波动分析
随着全球经济的快速发展，原油对于国家稳定的作用越来越突出。然而，在紧急情况下，油价会大幅波动。同时，在大数据时代，网络搜索数据被广泛用于预测。在此，提出改进传统案例分析的建议。考虑紧急情况和网络搜索数据，建立了自回归分布式滞后模型。此外，还利用特定突发事件的网络关注度指数来解释油价的波动，并分析了这种关注度的影响。研究结果表明：1）重大突发事件对国际石油市场有显着的短期影响，对事件窗口累计超常收益影响显着；2）市场关注度会加剧油价波动。研究发现，个别网络对四种紧急情况的关注度对油价有显着影响。卡特里娜飓风和利比亚战争相关的网络关注对油价产生积极影响。然而，次贷危机和2010年墨西哥漏油事件的网络关注效果却是负面的。对次贷危机的关注影响最大、持续时间最长。
更新日期：2020-12-03
中文翻译：
考虑紧急情况和网络搜索数据的原油价格波动分析
随着全球经济的快速发展，原油对于国家稳定的作用越来越突出。然而，在紧急情况下，油价会大幅波动。同时，在大数据时代，网络搜索数据被广泛用于预测。在此，提出改进传统案例分析的建议。考虑紧急情况和网络搜索数据，建立了自回归分布式滞后模型。此外，还利用特定突发事件的网络关注度指数来解释油价的波动，并分析了这种关注度的影响。研究结果表明：1）重大突发事件对国际石油市场有显着的短期影响，对事件窗口累计超常收益影响显着；2）市场关注度会加剧油价波动。研究发现，个别网络对四种紧急情况的关注度对油价有显着影响。卡特里娜飓风和利比亚战争相关的网络关注对油价产生积极影响。然而，次贷危机和2010年墨西哥漏油事件的网络关注效果却是负面的。对次贷危机的关注影响最大、持续时间最长。
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