Dynamic Correlation between Crude Oil Price and Investor Sentiment in China: Heterogeneous and Asymmetric Effect
نویسندگان
چکیده
This paper aims to explore the dynamic relationships between crude oil price (shocks) and investor sentiment. Specifically, this utilizes web crawler construct Chinese sentiment index. The structural vector autoregression (SVAR) model is then used decompose shocks into three types of shocks. Finally, wavelet coherence analysis (WTC) employed study correlation in time frequency domain, their asymmetric under different trends price. Using data from February 2013 June 2021, our empirical results suggest heterogeneous correlations lead-lag exist over domains. In addition, there are lead–lag
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ژورنال
عنوان ژورنال: Energies
سال: 2022
ISSN: ['1996-1073']
DOI: https://doi.org/10.3390/en15030687