The Influence of Equity Market Sentiment on Credit Default Swap Markets: Evidence from Wavelet Quantile Regression

Table 1

Summary of descriptive statistics.

Variables	Mean	Std. dev	Min	Max	Skew	Kurt.	Jarque-Bera stat	ADF stat	PP stat	DF-GLS stat
CDX.NA.HY	−1.642	46.845	−451.900	172.400	−4.138	29.949	132518.520	−7.260	−85.832	−6.003
CDX.NA.IG	−4.104	8.063	−61.100	12.200	−3.489	15.363	39083.440	−6.050	−74.969	−5.138
SE	0.064	0.324	−0.500	0.500	−0.259	−1.278	260.440	−37.840	−3514.392	−7.115
VIX	19.109	9.201	9.140	80.860	2.476	8.394	13041.600	−2.220	−49.023	−3.436
SPOT interest rate	2.173	1.158	0.560	5.230	1.059	0.361	634.130	−1.760	−5.031	−1.336
S&P 500 index	1698.760	554.409	676.530	2933.680	0.520	−0.775	230.600	1.820	−5.489	−0.885
WTI oil price	74.248	22.576	26.210	145.660	0.227	−0.695	94.360	−0.570	−9.59	−1.893
SPOT interest rate	−0.001	0.057	−0.460	0.340	−0.121	4.386	2650.020	−44.170	−3234.66	−2.969
S&P 500 index	0.502	17.201	−113.190	116.600	−0.508	5.247	3922.200	−43.500	−3284.565	−22.504
WTI oil price	0.001	1.620	−13.060	16.370	0.010	7.337	7392.310	−41.980	−3496.899	−58.361

Note. This table reports the main descriptive statistics of the variables under consideration over the whole sample period from March 28th, 2006 to April 23rd, 2019. The main descriptive statistics include the mean, standard deviation, minimum, maximum, skewness, kurtosis, Jarque–Bera test statistics, Augmented Dickey–Fuller test (ADF) statistics, Phillips–Perron test (PP) statistics and Elliott, Rothenberg and Stock’s GLS version of the Dickey-Fuller (DF-GLS) test statistics. CDX.NA.HY and CDX.NA.IG are the differences of the composite spread and theoretical spread for the North America High Yield index and North America Investment Grade index, respectively. , , and denote rejection of the null hypothesis at 1%, 5%, and 10% significance levels, respectively.