Complexity

Research Article

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

Table 3

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


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	−2.033	−0.133	−0.879	−2.140	−2.333	−2.307	−2.518	−2.746
SPOT	2.276	11.309	−2.004	1.450	2.510	1.094	1.218	1.962
S&P 500	0.001	0.030	0.031	0.002	−0.009	−0.006	−0.009	−0.008
WTI oil	0.108	0.221	−0.009	0.085	0.193	0.067	0.053	0.042

Wavelet series D1
SE	−1.218	−1.676	−1.348	−0.974	−0.762	−1.075	−1.419	−1.562
SPOT	1.889	1.507	0.808	0.810	0.593	0.717	1.953	2.409
S&P 500	0.019	0.018	0.016	0.017	0.016	0.014	0.014	0.016
WTI oil	−0.026	−0.011	−0.029	−0.025	−0.010	−0.001	−0.021	−0.059

Wavelet series D2
SE	−2.662	−3.396	−2.841	−2.130	−1.781	−2.124	−2.765	−3.754
SPOT	1.080	2.933	1.773	0.309	0.025	−0.008	2.037	3.399
S&P 500	0.016	0.017	0.017	0.015	0.013	0.013	0.018	0.018
WTI oil	−0.080	−0.063	−0.017	−0.008	−0.014	0.001	−0.029	−0.055

Wavelet series D3
SE	−3.386	−4.619	−3.567	−2.384	−2.336	−2.657	−3.523	−4.205
SPOT	3.822	5.530	3.946	1.088	−0.780	0.005	1.547	0.511
S&P 500	−0.017	−0.022	−0.021	−0.012	−0.004	−0.010	−0.014	−0.026
WTI oil	−0.174	−0.155	−0.042	−0.132	−0.134	−0.092	−0.133	−0.091

Wavelet series D4
SE	−4.045	−3.164	−4.576	−3.929	−2.804	−4.015	−4.961	−6.685
SPOT	−5.925	−5.932	4.847	6.335	7.084	7.832	6.081	−4.522
S&P 500	−0.037	−0.069	−0.025	0.002	−0.011	0.003	−0.022	−0.027
WTI oil	−0.078	0.400	0.199	−0.151	−0.148	−0.107	−0.025	0.056

Wavelet series D5
SE	0.407	3.792	3.087	−1.543	−0.144	−0.656	−0.010	3.317
SPOT	5.653	14.743	21.074	14.429	11.410	11.266	5.455	−3.970
S&P 500	−0.168	−0.274	−0.216	−0.097	−0.109	−0.118	−0.141	−0.233
WTI oil	1.261	1.630	1.415	0.633	0.456	0.560	1.266	2.285

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.IG. SE denotes the investor attitude proxy; CDX.NA.IG denotes the differences of the composite spread and theoretical spread for the North America Investment Grade index. , , and denote the statistical significance at 1%, 5%, and 10% levels, respectively.