IAEE Members and subscribers to The Energy Journal: Please log in to access the full text article or receive discounted pricing for this article.

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

Abstract:
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.

Download Executive Summary Purchase ( $25 )

Keywords: Investor sentiment, International oil prices, Wavelet coherence analysis, Co-movement

DOI: 10.5547/01956574.41.5.fwen

References: Reference information is available for this article. Join IAEE, log in, or purchase the article to view reference data.

Published in Volume 41, Number 5 of the bi-monthly journal of the IAEE's Energy Economics Education Foundation.

 

© 2024 International Association for Energy Economics | Privacy Policy | Return Policy