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

Table 6

OLS, quantile, and the Symlets 2 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	0.000	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	−5.044	−7.277	−6.665	−4.165	−3.705	−4.773	−6.202	−7.636
SPOT	3.659	3.144	6.819	3.961	1.414	2.200	7.167	7.518
S&P 500	0.108	0.132	0.084	0.095	0.100	0.087	0.086	0.095
WTI oil	0.168	0.305	0.298	0.083	0.059	0.119	0.265	0.401
Wavelet series D2
SE	−14.310	−18.520	−15.314	−11.453	−9.430	−11.284	−16.222	−19.858
SPOT	8.158	15.277	8.032	5.858	4.029	7.281	15.422	21.187
S&P 500	0.149	0.129	0.134	0.090	0.091	0.089	0.121	0.143
WTI oil	−0.080	−0.151	0.145	0.136	0.083	0.129	0.035	0.345
Wavelet series D3
SE	−24.662	−36.589	−26.697	−18.653	−15.733	−19.016	−26.455	−39.832
SPOT	30.491	51.473	36.385	18.272	11.859	24.825	38.624	32.797
S&P 500	0.099	0.267	0.080	0.028	0.029	0.064	0.127	0.230
WTI oil	−0.082	−0.248	−0.088	−0.235	−0.260	−0.363	−0.066	−0.227
Wavelet series D4
SE	−34.110	−43.621	−42.666	−28.272	−25.005	−28.574	−34.754	−44.735
SPOT	−89.425	−95.705	−51.919	−21.425	−24.651	−29.444	−57.608	−105.577
S&P 500	0.015	−0.055	0.161	0.057	0.045	0.067	0.038	−0.083
WTI oil	0.057	3.142	1.656	0.158	−0.117	0.759	2.443	3.492
Wavelet series D5
SE	−3.822	−17.785	−20.659	−24.853	−19.991	−25.761	−11.535	−1.635
SPOT	−153.476	−215.082	−79.814	−105.942	−96.152	−98.082	−127.549	−149.333
S&P 500	−0.512	−0.223	−0.504	−0.314	−0.314	−0.250	−0.656	−0.838
WTI oil	−4.368	−3.285	−1.253	−0.703	−0.115	−0.642	−2.011	−5.834

Note. This table displays coefficient estimates of the OLS, quantile, and the Symlets 2 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.