Do energy prices affect U.S. investor sentiment?

Apergis, Nicholas, Cooray, Arusha, and Rehman, Mobeen Ur (2018) Do energy prices affect U.S. investor sentiment? Journal of Behavioral Finance, 19 (2). pp. 125-140.

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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 article explore 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.

Item ID: 69183
Item Type: Article (Research - C1)
ISSN: 1542-7579
Keywords: Energy prices, Investor sentiment, Quantile cointegration, Quantile unit root
Copyright Information: © 2018 The Institute of Behavioral Finance
Date Deposited: 28 Sep 2021 23:02
FoR Codes: 38 ECONOMICS > 3801 Applied economics > 380112 Macroeconomics (incl. monetary and fiscal theory) @ 100%
SEO Codes: 15 ECONOMIC FRAMEWORK > 1502 Macroeconomics > 150299 Macroeconomics not elsewhere classified @ 100%
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