Dynamic spillovers between oil price, stock market, and investor sentiment: Evidence from the United States and Vietnam

Thai Hong Le and Anh Tram Luong

Resources Policy, 2022, vol. 78, issue C

Abstract: This paper aims to examine the dynamic spillovers between oil price shocks, stock market returns and investor sentiment in the US and Vietnam during the period 2010–2020. To this aim, we consider a financial network consisting of three above variables in a time-varying parameter vector autoregression (TVP-VAR)-based spillover framework. Our results show a moderate interdependence among the variables in our networks. Further, the relationship between oil price, stock market returns and investor sentiment is time-varying and quite driven by time-specific developments and events. Overall, we find that oil price and sentiment are net transmitters of shocks in the US whereas stock market return is the net recipient. For Vietnam, however, investor sentiment is the principal net transmitter of shocks while oil price and stock return are the net recipients. Our results remain robust to alternative international benchmarks of crude oil and the choice to estimate the TVP-VAR framework.

Keywords: Dynamic connectedness; TVP-VAR; Investor sentiment; Oil price; Stock market (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420722003750
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003750

DOI: 10.1016/j.resourpol.2022.102931

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().