Complexity

Research Article

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

Table 7

OLS, quantile, and the Symlets 2 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	−1.246	−1.718	−1.355	−0.951	−0.788	−1.069	−1.508	−1.606
SPOT	1.974	2.228	0.825	0.709	0.644	0.532	1.626	2.716
S&P 500	0.018	0.018	0.016	0.017	0.016	0.015	0.012	0.015
WTI oil	−0.029	−0.007	−0.039	−0.027	−0.012	−0.004	−0.011	−0.056

Wavelet series D2
SE	−2.593	−3.396	−2.691	−2.084	−1.783	−2.065	−2.635	−3.758
SPOT	0.930	2.853	2.194	0.810	0.009	0.587	1.288	1.909
S&P 500	0.015	0.016	0.012	0.013	0.012	0.011	0.017	0.020
WTI oil	−0.071	−0.075	−0.002	0.003	−0.002	−0.006	−0.049	−0.061

Wavelet series D3
SE	−3.396	−4.677	−3.343	−2.412	−2.366	−2.646	−3.512	−4.661
SPOT	3.051	6.515	2.874	1.130	−0.604	−0.462	0.773	−0.041
S&P 500	−0.015	−0.025∗	−0.022	−0.011	−0.003	−0.007	−0.015	−0.013
WTI oil	−0.172	−0.113	−0.062	−0.087	−0.116	−0.090	−0.114	−0.114

Wavelet series D4
SE	−3.915	−2.286	−4.591	−3.786	−2.507	−3.612	−4.770	−6.551
SPOT	−5.321	−13.546	2.373	5.912	5.544	6.892	8.498	0.736
S&P 500	−0.040	−0.078	−0.023	−0.004	−0.016	−0.007	−0.029	−0.061
WTI oil	−0.043	0.332	0.133	−0.122	−0.125	−0.023	0.157	0.307

Wavelet series D5
SE	−0.167	2.423	2.315	−1.305	−0.895	−1.408	−0.192	1.030
SPOT	5.957	17.464	26.933	13.910	10.419	9.594	1.865	−7.742
S&P 500	−0.165	−0.252	−0.208	−0.099	−0.108	−0.104	−0.150	−0.220
WTI oil	1.279	1.661	1.245	0.639	0.519	0.581	1.228	2.416

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.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.