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

Table 5

OLS, quantile, and the Daubechies 4 wavelet quantile regression for the influence of VIX 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
VIX	−0.507	−1.181	−0.973	−0.494	−0.212	−0.053	0.032	0.126
SPOT	0.379	−2.141	−1.113	−0.271	1.211	0.175	0.371	1.134
S&P 500	0.014	0.013	0.012	0.000	0.003	−0.002	0.000	−0.003
WTI oil	−0.025	−0.022	−0.006	−0.003	0.128	0.094	0.003	−0.054
Wavelet series D1
VIX	0.364	0.370	0.357	0.361	0.370	0.402	0.365	0.378
SPOT	1.483	1.934	0.735	−0.182	−0.051	0.451	1.141	1.840
S&P 500	0.014	0.016	0.017	0.014	0.011	0.010	0.015	0.016
WTI oil	−0.045	−0.052	−0.055	−0.034	−0.020	−0.028	−0.053	−0.069
Wavelet series D2
VIX	0.480	0.510	0.492	0.506	0.476	0.505	0.473	0.465
SPOT	0.469	1.676	−0.245	−0.268	−0.594	0.598	0.142	1.200
S&P 500	−0.014	−0.016	−0.011	−0.012	−0.009	−0.012	−0.011	−0.017
WTI oil	−0.078	−0.132	−0.040	−0.005	0.014	−0.004	−0.026	−0.071
Wavelet series D3
VIX	0.444	0.415	0.341	0.323	0.323	0.323	0.370	0.428
SPOT	1.402	3.106	1.808	1.222	0.023	−0.551	−1.190	−0.927
S&P 500	−0.064	−0.082	−0.062	−0.046	−0.037	−0.044	−0.064	−0.075
WTI oil	−0.196	−0.188	−0.096	−0.091	−0.106	−0.112	−0.171	−0.214
Wavelet series D4
VIX	0.174	0.085	0.093	0.129	0.124	0.128	0.105	0.115
SPOT	−7.743	−7.362	1.177	7.816	6.938	6.805	3.923	−10.743
S&P 500	−0.090	−0.118	−0.086	−0.055	−0.039	−0.051	−0.090	−0.139
WTI oil	−0.037	0.374	0.247	−0.071	−0.095	−0.044	−0.050	0.216
Wavelet series D5
VIX	−0.090	−0.082	−0.032	−0.031	−0.009	−0.015	−0.031	−0.108
SPOT	6.581	11.046	19.540	14.067	11.491	12.144	6.483	−4.347
S&P 500	−0.168	−0.235	−0.180	−0.121	−0.114	−0.133	−0.146	−0.209
WTI oil	1.143	1.565	1.407	0.582	0.437	0.522	1.202	2.083

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.IG. VIX (Chicago board options exchange volatility index) denotes the investor fear 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.