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.

中文翻译：

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关注带来的压力：气候变化关注与原油市场的关系

投资者对特定主题的关注可能转化为实际的交易行为，从而影响市场价格。原油市场中，碳排放引发的气候变化风险问题近期备受关注，投资者对此话题的搜索行为可能会影响原油价格。本文基于Google提供的搜索信息，采用分位数和分位数对分位数回归（QQR）方法检验了投资者对气候变化风险的关注度与原油期货价格收益之间的关系。结果表明：（1）观察到同时存在相反的相关性，在高回报期间注意力与回报之间存在显着正相关关系，而在低回报期间则存在显着负相关关系。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)实物风险和机会风险关注度与收益主要呈显着负相关，监管风险关注度与收益主要呈正相关。 (3) 对气候变化的关注程度越高，这些影响就会加剧，回归系数绝对值的增加就证明了这一点。本研究结果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影响提供参考。