The impact of oil price shocks on energy stocks from the perspective of investor attention

Abstract

In recent years, the impact of oil price shocks on the energy stock market has attracted the attention of many scholars. Since investors of different listed companies will influence each other, investors' attention from a micro perspective should be considered. Therefore, this paper constructs a new research framework of VAR and PVAR to identify the role of investor attention in the process of oil price impact on the energy stock market from a micro level. Our study have some new results. First, investor attention will affect the process of oil prices impacting energy stock prices, but not all energy listed companies will be affected by investor attention. Investor attention plays a more significant role for listed energy companies with a wider range of businesses. In addition, the duration of negative oil price shocks on energy stock prices is longer because investors pay more attention to negative oil price shocks. The contribution of this paper is to provide a new research framework for studying the mediating effect of investor attention at the micro level, and to provide an explanation for the asymmetric effect of oil price impact on energy stock price from the perspective of investors.