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Investor sentiments, economic policy uncertainty, US interest rates, and financial assets: Examining their interdependence over time

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  • Mohammed, Kamel Si
  • Obeid, Hassan
  • Oueslati, Karim
  • Kaabia, Olfa

Abstract

The objective of this paper is to examine the interdependence over time between investor sentiments (NSS), economic policy uncertainty (EPU), US interest rates (RTM), and financial assets. It covers the period from March 21, 2017, to March 20, 2023. The study utilizes a quantile VAR-based connectivity technique and wavelet multiple local correlations. The results indicate that shocks are transmitted through investor sentiments and received at the mean in both bullish and bearish market conditions. The values of the coefficients fluctuate over time, particularly during larger scale periods 8–6 as determined by the wavelet multiple local correlations.

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  • Mohammed, Kamel Si & Obeid, Hassan & Oueslati, Karim & Kaabia, Olfa, 2023. "Investor sentiments, economic policy uncertainty, US interest rates, and financial assets: Examining their interdependence over time," Finance Research Letters, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005524
    DOI: 10.1016/j.frl.2023.104180
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    10. Bouteska, A. & Rahman, Mashuk & Hassan, M. Kabir & Sanchez, Benito A., 2025. "Re-examining the nexus between Chinese carbon markets with energy and non-energy commodity markets in a novel risk spillover network approach," Pacific-Basin Finance Journal, Elsevier, vol. 92(C).
    11. Pham Thuy Tu, 2026. "Global Information Uncertainty and Real Estate Stock Valuation in Emerging Markets: an Integrated Behavioral - Theoretical and Machine Learning Framework," Real Estate Management and Valuation, Sciendo, vol. 34(1), pages 63-83.
    12. Li, Xinyu & Wu, Meng & Yuan, Luqi & Xiao, Meng & Zhong, Ronghao & Yu, Miao, 2024. "Uncertainties and oil price volatility: Can lasso help?," Finance Research Letters, Elsevier, vol. 61(C).
    13. Zhao, Jiawei & Han, Yibo, 2025. "Interest rate fluctuations and corporate financial leverage," Finance Research Letters, Elsevier, vol. 80(C).
    14. Ben Jabeur, Sami & Gozgor, Giray & Rezgui, Hichem & Mohammed, Kamel Si, 2024. "Dynamic dependence between quantum computing stocks and Bitcoin: Portfolio strategies for a new era of asset classes," International Review of Financial Analysis, Elsevier, vol. 95(PB).
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    17. Fadekemi Chidinma Adeloye & Olayinka Olawoyin & Chinaemerem Daniel, 2024. "Economic Policy Uncertainty and Financial Markets in the United State," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(6), pages 998-1016, June.
    18. Oehler, Andreas & Horn, Matthias, 2024. "Does ChatGPT provide better advice than robo-advisors?," Finance Research Letters, Elsevier, vol. 60(C).
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    21. Dan Yi & Sheng Lin & Jianlan Yang, 2025. "Global Climate Risk Perception and Its Dynamic Impact on the Clean Energy Market: New Evidence from Contemporaneous and Lagged R 2 Decomposition Connectivity Approaches," Sustainability, MDPI, vol. 17(8), pages 1-29, April.

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