 The impact of investor sentiment on crude oil market risks: evidence from the wavelet approachYue-Jun Zhang () and Shu-Hui Li Quantitative Finance, 2019, vol. 19, issue 8, 1357-1371 Abstract: Investor sentiment has become an important factor affecting oil price volatility and extreme risk. Therefore, we utilise a VaR-GARCH model to detect the extreme risk of the crude oil market during 2007–2017, and then explore the causality between investor sentiment and extreme risk in the crude oil market, and their lead-lag and co-movement relationships in the time-frequency domain. The empirical results show that: firstly, investor sentiment leads downside risk but lags the upside risk in the crude oil market; secondly, in the time domain, there is a co-movement between investor sentiment and extreme risk in the crude oil market, in particular, investor sentiment may Granger cause extreme risk in the crude oil market at the 1% significance level but not vice versa; thirdly, in the frequency domain, weak coherence can be found in high-frequency bands but increases in low-frequency bands during the whole sample period, which indicates that the impact of investor sentiment on extreme risk in the crude oil market will last for a long time, although the affected period tends to decrease. Date: 2019 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:19:y:2019:i:8:p:1357-1371 Ordering information: This journal article can be ordered from DOI: 10.1080/14697688.2019.1581368 Access Statistics for this article Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral More articles in Quantitative Finance from Taylor & Francis Journals |
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