The Dynamic Time-frequency Relationship between International Oil Prices and Investor Sentiment in China: A Wavelet Coherence Analysis
| Autor: | Chunyan Hu, Guangda Ouyang, Linjie He, Fenghua Wen, Zhengke Ye |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Economics and Econometrics
020209 energy Wavelet coherence 05 social sciences 02 engineering and technology Crude oil Time–frequency analysis General Energy 0502 economics and business Principal component analysis 0202 electrical engineering electronic engineering information engineering Econometrics Economics Position (finance) 050207 economics Oil price China health care economics and organizations |
| Zdroj: | The Energy Journal. 41 |
| ISSN: | 0195-6574 |
| DOI: | 10.5547/01956574.41.5.fwen |
| Popis: | We take a fresh look at the interaction between crude oil prices and investor sentiment from the novel perspective of both the time and the frequency domains. By using principal component analysis, we first construct an investor sentiment indicator. Then, crude oil prices are decomposed into three oil price shocks through an SVAR model. Lastly, the dynamic relationship between investor sentiment and oil price shocks is comprehensively studied from both the time and the frequency domains via wavelet coherence analysis. Our results show the leading position of crude oil prices in the co-movement relationship with investor sentiment. Further, we distinguish the different effects of oil price shocks on investor sentiment at different times and frequencies. We also find that the patterns of the co-movement between oil prices (oil price shocks) and investor sentiment change not only with time but also with frequency. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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