Does Investor Attention Matter in Carbon Pricing? Empirical Evidence from Crude Oil Market

Bibliographic Data

ID16911985
AuthorsPanpan Zhu (0000-0003-3877-766X, Taishan University), Yinpeng Zhang (0000-0003-2826-6049, Shandong Agricultural University, corresponding author)
Year2025
Volume15
Issue2
Publication date2025-04-01
Open AccessYes
TypeARTICLE
VenueSAGE Open (JOURNAL)
Journal identifiersISSN: 2158-2440 • E-ISSN: 2158-2440
PublisherSAGE Publications (PUBLISHER • US)
DOI10.1177/21582440251322624
OpenAlexW4409380113
LanguageEN
References cited66

The novelty of this paper lies in the successful explanation and forecasting of carbon market from the perspective of crude oil attention. In this paper, based on the data on carbon futures and investor attention, several models are adopted to explore the role of crude oil attention on return and realized volatility in the carbon market. The empirical results are generalized as follows. First, crude oil attention granger causes the changes to carbon market, and besides, crude oil attention exerts significant negative impacts on carbon return while positive impacts on the realized volatility. Second, crude oil attention-based models improve the forecast accuracy for return and realized volatility in both short and long horizons and can surely bring investors with significant economic benefits. Third, this paper further confirms the nonlinear connections, the potential influencing mechanism, and subsample performances between crude oil attention and the carbon market. In summary, this paper broadens the framework of carbon pricing from investor attention and proves the importance of crude oil attention in the carbon market

Business · Crude oil · Economics · Empirical evidence · Financial economics · Monetary economics · Climate Change Policy and Economics · Energy, Environment, and Transportation Policies · Market Dynamics and Volatility

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