Dynamic Correlation between Crude Oil Price and Investor Sentiment in China: Heterogeneous and Asymmetric Effect

Zhenghui Li, Zimei Huang and Pierre Failler
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Zhenghui Li: Guangzhou Institute of International Finance, Guangzhou University, Guangzhou 510006, China
Zimei Huang: School of Economics and Statistics, Guangzhou University, Guangzhou 510006, China
Pierre Failler: Department of Economics and Finance, Portsmouth Business School, University of Portsmouth, Portsmouth PO1 3DE, UK

Energies, 2022, vol. 15, issue 3, 1-22

Abstract: This paper aims to explore the dynamic relationships between the crude oil price (shocks) and investor sentiment. Specifically, this paper utilizes web crawler to construct Chinese investor sentiment index. The structural vector autoregression (SVAR) model is then used to decompose the crude oil price shocks into three types of oil price shocks. Finally, the wavelet coherence analysis (WTC) is employed to study the dynamic correlation between crude oil price (shocks) and investor sentiment in the time and frequency domain, and their asymmetric dynamic correlation under different trends of crude oil price. Using data from February 2013 to June 2021, our empirical results suggest the heterogeneous dynamic correlations and lead-lag relationships exist between crude oil price (shocks) and investor sentiment over different time and frequency domains. In addition, there are asymmetric dynamic correlations and lead–lag relationships between crude oil price (shocks) and investor sentiment under different trends of crude oil price.

Keywords: crude oil price; investor sentiment; heterogeneous and asymmetric effect; wavelet coherence analysis (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (18)

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