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Investor Sentiment and Oil Prices in the United States - Evidence From a Time-Varying Causality Test

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  • Selçuk Akçay

    (Department of Economics, Afyon Kocatepe University, Turkey)

Abstract

The question of the direction of causality between investor sentiment and oil prices remains moot in the literature. Using a recently developed time-varying causality test and monthly data, this study examines the causal relation between investor sentiment and oil prices in the United States. We find bidirectional causality between investor sentiment and oil prices over different time episodes.

Suggested Citation

  • Selçuk Akçay, 2022. "Investor Sentiment and Oil Prices in the United States - Evidence From a Time-Varying Causality Test," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 3(2), pages 1-7.
    • Handle: RePEc:ayb:jrnerl:55
    DOI: 2022/06/16
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    References listed on IDEAS

    as
    1. Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
    2. He, Zhifang, 2020. "Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 131-153.
    3. Nicholas Apergis & Arusha Cooray & Mobeen Ur Rehman, 2018. "Do Energy Prices Affect U.S. Investor Sentiment?," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 19(2), pages 125-140, April.
    4. Shuping Shi & Stan Hurn & Peter C B Phillips, 2020. "Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship [Energy Consumption and Economic Growth in the United States]," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 18(1), pages 158-180.
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    Cited by:

    1. Li, Linyue, 2025. "Asymmetric dynamics between supply chain disruptions, oil price shocks, and U.S. investor sentiment," Energy Economics, Elsevier, vol. 145(C).

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    More about this item

    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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