 Time‐varying causality between investor sentiment and oil price: Does uncertainty matter?Mohamed Sahbi Nakhli, Khaled Mokni and Manel Youssef International Journal of Finance & Economics, 2025, vol. 30, issue 1, 369-381 Abstract: While the oil market‐investors sentiment (IS) has been considerably investigated, almost all studies have focused on the assumption of a constant relationship, and no attention has been given to the causality analysis in a time‐varying approach. To fill this gap, this study investigates the predictive power between IS and oil price based on a time‐varying Granger causality test. Using data over the period 1987–2020, we find evidence of significant bidirectional asymmetric time‐varying causal influences between investor sentiment and oil prices, suggesting that oil prices may predict investor sentiment and vice versa. Besides, the results suggest that bearish (bullish) investor sentiment has positive (negative) influences on oil prices during major economic and political events. In contrast, oil price exerts an influence on the sentiment which switches between positive and negative from one period to another. Further analysis shows that uncertainty related to the oil and equity markets can be a driver of the predictive power of oil prices on the bearish IS. Date: 2025 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:30:y:2025:i:1:p:369-381 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.