The Dynamic Time-frequency Relationship between International Oil Prices and Investor Sentiment in China: A Wavelet Coherence Analysis

被引：42

作者：

Ye, Zhengke ^{[1
]}

Hu, Chunyan ^{[2
]}

He, Linjie ^{[3
]}

Ouyang, Guangda ^{[4
]}

Wen, Fenghua ^{[1
,5
]}

机构：

[1] Cent South Univ, Business Sch, Changsha 410083, Hunan, Peoples R China

[2] Cent South Univ, Sch Publ Adm, Changsha, Hunan, Peoples R China

[3] Hunan Normal Univ, Business Sch, Changsha, Hunan, Peoples R China

[4] Washington Univ, Sch Engn & Appl Sci, St Louis, MO 63110 USA

[5] Univ Windsor, Supply Chain & Logist Optimizat Res Ctr, Windsor, ON, Canada

来源：

ENERGY JOURNAL | 2020年 / 41卷 / 05期

基金：

中国国家自然科学基金;

关键词：

Investor sentiment; International oil prices; Wavelet coherence analysis; Co-movement; STOCK RETURNS; SHOCKS; UNCERTAINTY; MARKET; DEMAND;

D O I：

10.5547/01956574.41.5.fwen

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：251 / 270

页数：20

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