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

Table 9

OLS, quantile, and the Symlets 2 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	0.349	0.332	0.303	0.356	0.378	0.397	0.363	0.382
SPOT	1.560	2.198	0.479	0.060	−0.056	0.600	1.483	1.622
S&P 500	0.015	0.019	0.019	0.014	0.011	0.009	0.014	0.015
WTI oil	−0.048	−0.073	−0.059	−0.037	−0.022	−0.026	−0.048	−0.048
Wavelet series D2
VIX	0.480	0.494	0.476	0.494	0.484	0.498	0.456	0.500
SPOT	0.260	0.567	0.517	−0.563	−0.713	0.363	0.395	0.465
S&P 500	−0.014	−0.013	−0.014	−0.011	−0.009	−0.013	−0.012	−0.014
WTI oil	−0.070	−0.070	−0.017	−0.014	−0.002	−0.008	−0.020	−0.076
Wavelet series D3
VIX	0.444	0.382	0.328	0.319	0.321	0.332	0.384	0.472
SPOT	0.748	4.158	1.748	1.901	0.294	−0.145	−3.072	−3.691
S&P 500	−0.061	−0.078	−0.065	−0.045	−0.034	−0.043	−0.06	−0.064
WTI oil	−0.193	−0.217	−0.087	−0.076	−0.117	−0.103	−0.111	−0.219
Wavelet series D4
VIX	0.154	0.076	0.102	0.125	0.117	0.137	0.089	0.094
SPOT	−6.763	−16.886	−0.977	5.744	5.420	6.901	7.387	−2.780
S&P 500	−0.091	−0.115	−0.080	−0.059	−0.040	−0.053	−0.096	−0.154
WTI oil	−0.001	0.319	0.151	−0.031	−0.081	0.046	0.137	0.394
Wavelet series D5
VIX	−0.099	−0.079	−0.050	−0.045	0.007	−0.014	−0.018	−0.075
SPOT	6.820	18.576	26.711	14.295	10.704	10.801	4.303	−6.173
S&P 500	−0.174	−0.230	−0.177	−0.125	−0.122	−0.130	−0.157	−0.219
WTI oil	1.145	1.674	1.163	0.606	0.540	0.512	1.161	2.238

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.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.