Affordable Access

Publisher Website

Lack of consumer confidence and stock returns

Authors
Journal
Journal of Empirical Finance
0927-5398
Publisher
Elsevier
Publication Date
Volume
18
Issue
2
Identifiers
DOI: 10.1016/j.jempfin.2010.12.004
Keywords
  • Market Pessimism
  • Shocks To Consumer Confidence
  • Stock Returns
Disciplines
  • Economics

Abstract

Abstract 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.

There are no comments yet on this publication. Be the first to share your thoughts.