Investor Sentiment and Oil Prices in the United States: Evidence From a Time-Varying Causality Test
نویسندگان
چکیده
The question of the direction causality between investor sentiment and oil prices remains moot in literature. Using a recently developed time-varying test monthly data, this study examines causal relation United States. We find bidirectional over different time episodes.
منابع مشابه
Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain
The interaction of BRICS stock markets with the United States is studied using an asymmetric Granger causality test based on the frequency domain. This type of analysis allows for both positive and negative shocks over different horizons. There is a clear bivariate causality that runs both ways between the United States stock market and the respective BRICS markets. In addition, both negative a...
متن کاملInvestor Flows and the 2008 Boom/Bust in Oil Prices
This paper explores the impact of investor flows and financial market conditions on returns in crude-oil futures markets. I argue that informational frictions and the associated speculative activity may induce prices to drift away from “fundamental” values, and may result in booms and busts in prices. Particular attention is given to the interplay between imperfect information about real econom...
متن کاملEx-Dividend Prices and Investor Trades: Evidence from Taiwan
Based upon an examination of 987 ex-dividend events that took place on the Taiwan Stock Exchange between January 1992 and December 2006, we find that differential taxes are an important factor in terms of their effects on share prices and the behavior of investors around the ex-dividend day. Ex-day price drop ratio increases with the average investor’s preference for dividend relative to capita...
متن کاملHealth System Reform in the United States
In 2010, the United States adopted its first-ever comprehensive set of health system reforms in the Affordable Care Act (ACA). Implementation of the law, though politically contentious and controversial, has now reached a stage where reversal of most elements of the law is no longer feasible. The controversial portions of the law that expand affordable health insurance coverage to most U.S. cit...
متن کاملInvestor Attention and Time-varying Comovements
This paper analyses the effect of an increase in market-wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures to assess macroeconomic shocks that affect market-wide uncertainty. We use the ratio of a stock’s idiosyncratic realised volatility with respect to the S&P500 futures relative to its total realised vol...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Energy research letters
سال: 2022
ISSN: ['2652-6433', '2652-6514']
DOI: https://doi.org/10.46557/001c.32633