The Influence of Equity Market Sentiment on Credit Default Swap Markets: Evidence from Wavelet Quantile Regression
Table 4
OLS, quantile, and the Daubechies 4 wavelet quantile regression for the influence of VIX 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
VIX
−1.776
−4.871
−3.525
−1.562
0.166
1.150
2.341
3.397
SPOT
4.684
−0.592
3.021
3.449
−10.759
8.626
−3.915
−9.808
S&P 500
0.097
0.053
0.087
0.036
0.027
−0.030
−0.113
−0.029
WTI oil
0.364
−0.347
−0.478
0.163
0.576
0.436
0.303
−0.224
Wavelet series D1
VIX
2.024
1.878
2.230
2.169
2.146
2.226
2.161
2.148
SPOT
2.034
1.244
3.070
−1.572
0.255
−2.080
0.245
2.566
S&P 500
0.068
0.081
0.062
0.058
0.054
0.053
0.066
0.061
WTI oil
0.100
0.278
0.259
0.030
0.015
0.081
0.105
0.204
Wavelet series D2
VIX
3.395
3.288
3.413
3.150
2.877
3.065
3.217
3.309
SPOT
3.906
20.363
14.269
5.467
1.415
3.175
14.977
2.827
S&P 500
−0.036
−0.059
−0.062
−0.059
−0.033
−0.048
−0.064
−0.059
WTI oil
−0.035
−0.444
0.164
0.112
0.134
0.193
−0.140
−0.305
Wavelet series D3
VIX
3.119
2.981
2.938
2.653
2.454
2.703
2.847
3.099
SPOT
18.964
29.364
23.416
23.338
15.971
22.000
5.371
3.138
S&P 500
−0.248
−0.254
−0.272
−0.216
−0.199
−0.213
−0.253
−0.238
WTI oil
−0.088
−0.334
−0.041
−0.240
−0.304
−0.232
0.088
0.298
Wavelet series D4
VIX
2.237
1.483
1.340
1.614
1.473
1.520
1.588
1.425
SPOT
−117.013
−188.749
−114.511
−29.255
−29.524
−29.081
−92.095
−200.180
S&P 500
−0.449
−0.645
−0.438
−0.294
−0.254
−0.315
−0.468
−0.600
WTI oil
0.930
5.024
3.583
0.965
0.071
0.785
3.610
5.386
Wavelet series D5
VIX
0.984
0.392
0.409
0.680
1.085
0.925
0.526
0.601
SPOT
−190.683
−172.359
−103.498
−114.618
−90.835
−106.445
−158.278
−166.137
S&P 500
−0.419
−0.512
−0.620
−0.563
−0.628
−0.582
−0.594
−0.742
WTI oil
−3.663
−4.845
−2.599
−0.901
−0.326
0.125
−1.757
−5.025
Note. This table displays coefficient estimates of the OLS, quantile, and the Daubechies 4 wavelet quantile regression for the influence of VIX on CDX.NA.HY. VIX (Chicago board options exchange volatility index) denotes the investor fear proxy. CDX.NA.HY denotes the differences of the composite spread and theoretical spread for the North America High Yield index. ,, and denote the statistical significance at 1%, 5%, and 10% levels, respectively.
