https://scholars.lib.ntu.edu.tw/handle/123456789/374585
標題: | Consumer confidence and stock returns over market fluctuations | 作者: | SHIU-SHENG CHEN | 關鍵字: | Applied econometrics; Financial markets; Fluctuations; Investor behavior | 公開日期: | 2012 | 卷: | 12 | 期: | 10 | 起(迄)頁: | 1585-1597 | 來源出版物: | Quantitative Finance | 摘要: | This paper investigates the link between consumer confidence and stock returns over stock market fluctuations. In particular, I focus on whether the returns have asymmetric effects on confidence. The empirical results from both in-sample and out-of-sample tests provide strong evidence of the existence of an asymmetric linkage between stock returns and consumer confidence: the impacts of returns on confidence are larger in bear markets. Moreover, variables such as the term structure, changes in federal fund rates, changes in unemployment rates, and changes in world oil prices are found to be negatively associated with consumer confidence, as expected. © 2012 Copyright Taylor and Francis Group, LLC. |
URI: | http://www.scopus.com/inward/record.url?eid=2-s2.0-84867191870&partnerID=MN8TOARS http://scholars.lib.ntu.edu.tw/handle/123456789/374585 |
DOI: | 10.1080/14697688.2011.565363 |
顯示於: | 經濟學系 |
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