Dynamic spillovers between oil price, stock market, and investor sentiment: Evidence from the United States and Vietnam

This paper aims to examine the dynamic spillovers between oil price shocks, stock market returns and investor sentiment in the US and Vietnam during the period 2010–2020. To this aim, we consider a financial network consisting of three above variables in a time-varying parameter vector autoregressio...

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Veröffentlicht in:Resources policy 2022-09, Vol.78, p.102931, Article 102931
Hauptverfasser: Le, Thai Hong, Luong, Anh Tram
Format: Artikel
Sprache:eng
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Zusammenfassung:This paper aims to examine the dynamic spillovers between oil price shocks, stock market returns and investor sentiment in the US and Vietnam during the period 2010–2020. To this aim, we consider a financial network consisting of three above variables in a time-varying parameter vector autoregression (TVP-VAR)-based spillover framework. Our results show a moderate interdependence among the variables in our networks. Further, the relationship between oil price, stock market returns and investor sentiment is time-varying and quite driven by time-specific developments and events. Overall, we find that oil price and sentiment are net transmitters of shocks in the US whereas stock market return is the net recipient. For Vietnam, however, investor sentiment is the principal net transmitter of shocks while oil price and stock return are the net recipients. Our results remain robust to alternative international benchmarks of crude oil and the choice to estimate the TVP-VAR framework. •The TVP-VAR model shows a moderate relationship among oil price, stock market, and investor sentiment in the US and Vietnam.•The relationship between oil price, stock market and investor sentiment is driven by time-specific developments and events.•In the US, oil price and sentiment are net transmitters of shocks whereas stock market return is the net recipient.•In Vietnam, investor sentiment is the principal net transmitter of shocks, oil price and stock return are net recipients.
ISSN:0301-4207
1873-7641
DOI:10.1016/j.resourpol.2022.102931