The Influence of Equity Market Sentiment on Credit Default Swap Markets: Evidence from Wavelet Quantile Regression
Table 8
OLS, quantile, and the Symlets 2 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
−0.03
−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
2.060
2.067
2.091
2.193
2.175
2.354
2.304
2.324
SPOT
1.845
2.394
1.892
−1.522
0.231
−3.626
1.965
2.947
S&P 500
0.066
0.075
0.073
0.058
0.050
0.051
0.059
0.063
WTI oil
0.089
0.133
0.226
0.036
0.009
0.055
0.105
0.159
Wavelet series D2
VIX
3.384
3.176
3.234
3.151
2.952
3.068
3.299
3.411
SPOT
3.381
7.541
14.533
5.706
0.116
1.906
12.132
6.883
S&P 500
−0.039
−0.044
−0.060
−0.060
−0.033
−0.047
−0.065
−0.079
WTI oil
−0.004
−0.348
0.031
0.119
0.111
0.137
−0.010
−0.016
Wavelet series D3
VIX
3.118
3.081
2.842
2.667
2.482
2.691
2.948
3.185
SPOT
14.483
23.428
21.365
22.07
17.969
19.591
7.150
−2.654
S&P 500
−0.237
−0.263
−0.275
−0.201
−0.193
−0.209
−0.237
−0.218
WTI oil
−0.225
−0.310
−0.554
−0.272
−0.206
−0.246
−0.258
0.072
Wavelet series D4
VIX
2.231
1.732
1.362
1.539
1.466
1.385
1.388
1.509
SPOT
−110.371
−208.59
−98.993
−29.606
−29.07
−27.235
−75.576
−162.944
S&P 500
−0.423
−0.492
−0.423
−0.330
−0.254
−0.330
−0.425
−0.582
WTI oil
0.427
3.696
2.821
1.011
0.091
0.634
2.749
4.666
Wavelet series D5
VIX
1.126
0.315
0.448
0.684
1.126
0.933
0.695
0.584
SPOT
−162.21
−195.144
−99.937
−108.599
−84.027
−98.922
−135.733
−162.937
S&P 500
−0.502
−0.579
−0.717
−0.579
−0.632
−0.559
−0.722
−0.776
WTI oil
−2.913
−2.513
−1.433
−0.283
−0.106
−0.468
−1.486
−5.647
Note. This table displays coefficient estimates of the OLS, quantile, and the Symplets 2 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.
