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 structure 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. Besides that, there is asymmetric dynamic correlations and lead-lag relationships between crude oil price (shocks) and investor sentiment under different trends of crude oil price.
|Publication status||Accepted for publication - 13 Jan 2022|
- crude oil price
- investor sentiment
- heterogeneous and asymmetric effect
- wavelet coherence analysis