Title: Analysis of dependence structure among investor sentiment, policy uncertainty and international oil prices

Authors: Mobeen Ur Rehman; Seema Narayan

Addresses: Informetrics Research Group, Ton Duc Thang University, Ho Chi Minh City, Vietnam; Faculty of Social Sciences and Humanities, Ton Duc Thang University, Ho Chi Minh City, Vietnam ' School of Economics, Finance and Marketing, RMIT University, Melbourne, Australia

Abstract: The behavioural aspect of finance and economics has an embedded importance in the literature. This paper provides an evidence of the interrelationship of international oil prices with economic policy uncertainty, consumer sentiments and US investor sentiment proxies. To test the underlying dependence structure, we employ time invariant and time-varying copula methods due to dynamic return patterns of our sampled indices. Our analysis reveals an underlying relationship of investor sentiments and economic policy uncertainty with international oil prices not only during normal periods but also in the periods of financial turmoil. Results of our nonlinear causality highlight potential of bidirectional spillover between oil prices and investor sentiment indices across all quantiles. This helps in understanding that a volatile international oil market may have significant impact on investor sentiments and economic policy uncertainty and vice versa. [Received: December 20, 2019; Accepted: June 17, 2020]

Keywords: investor sentiment; economic uncertainty; oil prices; dependence structure.

DOI: 10.1504/IJOGCT.2021.115799

International Journal of Oil, Gas and Coal Technology, 2021 Vol.27 No.3, pp.286 - 306

Received: 20 Dec 2019
Accepted: 17 Jun 2020
Published online: 23 Jun 2021 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article