Do energy prices affect U.S. investor sentiment?
Journal article
Authors | Apergis, Nicholas, Cooray, Arusha and Rehman, Mobeen Ur |
---|---|
Abstract | The current literature has examined the effect of investor sentiment on energy prices, but no study ever has explored the validity of the reverse question. Therefore, this paper explores whether energy prices, i.e. crude oil and natural gas prices, affect U.S. investor sentiment, using the methodology of quantile regression. The empirical results document that controlling for a number of U.S. macroeconomic and financial factors, there exists a statistically significant association between oil and natural gas prices and investor sentiment. However, only natural gas prices appear to retain their statistical significance over the majority of quantiles. These findings received robust support under alternative measures of the investor sentiment index. |
Keywords | Investor sentiment; Energy prices; Quantile unit root; Quantile cointegration |
Year | 2017 |
Journal | Journal of Behavioral Finance |
Publisher | Taylor & Francis |
ISSN | 1542-7560 |
1542-7579 | |
Digital Object Identifier (DOI) | https://doi.org/10.1080/15427560.2017.1373354 |
Web address (URL) | http://hdl.handle.net/10545/623297 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/623297 | |
Publication dates | 27 Oct 2017 |
Publication process dates | |
Deposited | 15 Jan 2019, 11:17 |
Contributors | University of Piraeus, University of Nottingham, Malaysia and Szabist Islamabad |
File | File Access Level Open |
File | File Access Level Open |
File | File Access Level Controlled |
https://repository.derby.ac.uk/item/92vq7/do-energy-prices-affect-u-s-investor-sentiment
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