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.

本文研究了投资者对油价的关注对代表石油、黄金和股票市场的三种交易所交易基金的回报、波动性和协方差的影响。为此，我们建议采用一种新的基于开盘价、最高价、最低价和收盘价的多变量波动率模型，该模型结合了投资者注意力对回报、波动率和协方差的影响。我们发现，这个将谷歌搜索“油价”作为外生变量的模型优于其他考虑过的多元波动率模型，并证明谷歌搜索“油价”可以解释和预测石油、黄金和石油回报之间的协方差。股市。