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

Table 2

OLS, quantile, and the Daubechies 4 wavelet quantile regression for the influence of SE on CDX.NA.HY.

Variables	OLS	Q (0.05)	Q (0.10)	Q (0.25)	Q (0.50)	Q (0.75)	Q (0.90)	Q (0.95)
Raw series
SE	−10.860	6.554	−3.596	−10.544	−11.419	−13.536	−16.080	−17.427
SPOT	11.468	69.437	18.717	−6.500	−2.108	2.049	1.192	−17.385
S&P 500	0.048	0.058	0.078	0.021	0.025	0.001	0.028	−0.010
WTI oil	0.897	1.880	0.558	0.578	0.495	0.575	0.800	2.370
Wavelet series D1
SE	−5.051	−6.746	−6.584	−4.272	−3.680	−4.831	−6.236	−7.541
SPOT	3.836	2.500	8.311	4.233	2.652	2.144	7.185	5.368
S&P 500	0.108	0.130	0.088	0.094	0.101	0.088	0.094	0.097
WTI oil	0.181	0.381	0.333	0.082	0.022	0.095	0.288	0.459
Wavelet series D2
SE	−14.677	−19.940	−15.321	−11.525	−9.798	−11.334	−16.491	−19.963
SPOT	8.350	16.529	10.592	6.684	6.665	9.483	21.114	25.197
S&P 500	0.158	0.157	0.137	0.096	0.092	0.091	0.116	0.165
WTI oil	−0.125	−0.101	0.127	0.137	0.022	0.061	0.046	0.016
Wavelet series D3
SE	−24.683	−35.335	−26.844	−18.553	−16.132	−19.227	−25.319	−38.532
SPOT	35.767	61.237	34.839	23.937	11.083	10.232	40.808	37.613
S&P 500	0.094	0.213	0.096	0.042	0.023	0.073	0.098	0.203
WTI oil	0.064	−0.009	−0.092	−0.323	−0.135	−0.291	0.155	0.242
Wavelet series D4
SE	−34.693	−46.010	−40.987	−29.055	−25.426	−29.500	−36.774	−45.542
SPOT	−94.306	−89.213	−55.649	−21.391	−27.350	−29.895	−67.559	−131.070
S&P 500	−0.004	−0.096	0.105	0.110	0.071	0.078	0.036	−0.066
WTI oil	0.628	4.024	2.782	0.258	−0.124	0.812	3.221	4.808
Wavelet series D5
SE	0.188	−19.060	−17.520	−23.070	−19.322	−23.988	−10.994	−9.236
SPOT	−179.247	−168.918	−91.199	−118.081	−95.299	−116.754	−155.108	−161.013
S&P 500	−0.482	−0.151	−0.434	−0.324	−0.341	−0.278	−0.539	−0.590
WTI oil	−5.022	−5.727	−2.407	−1.027	−0.093	−0.242	−1.932	−6.051

Note. This table displays coefficient estimates of the OLS, quantile, and the Daubechies 4 wavelet quantile regression for the influence of SE on CDX.NA.HY. SE denotes the investor attitude proxy; CDX.NA.HY denotes the differences of the composite spread and theoretical spread for the North America High Yield index. , , and denote rejection of the null hypothesis at 1%, 5%, and 10% significance levels, respectively.