Do Energy Prices Affect U.S. Investor Sentiment?. Issue 2 (3rd April 2018)

• Record Type: Journal Article
• Authors: Apergis, Nicholas; Cooray, Arusha; Rehman, Mobeen Ur
• Is Part Of: Journal of behavioral finance. Volume 19:Issue 2(2018)
• Page Start: 125
• Page End: 140
• Publication Date: 2018-04-03
• Subjects: Investor sentiment -- Energy prices -- Quantile unit root -- Quantile cointegration; Capital market -- Psychological aspects -- Periodicals; Finance -- Psychological aspects -- Periodicals; 332.019
• DOI: 10.1080/15427560.2017.1373354
• Languages: English
• ISSNs: 1542-7560

Abstract

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 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.