کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
958841 929082 2011 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Lack of consumer confidence and stock returns
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Lack of consumer confidence and stock returns
چکیده انگلیسی

This paper investigates the link between the lack of consumer confidence and stock returns during market fluctuations. Using a Markov-switching framework, we first focus on whether the shock to consumer confidence has asymmetric effects on stock returns. We also examine whether the decreased confidence pushes the stock market into bear territory. Empirical evidence using monthly returns on Standard & Poor's S&P 500 price index suggests that market pessimism has larger impacts on stock returns during bear markets. Moreover, the lack of consumer confidence leads to a higher probability of switching to a bear market regime.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 18, Issue 2, March 2011, Pages 225–236
نویسندگان
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