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Consumption Asymmetry and the Stock Market: Further Evidence

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Author Info

  • Nicholas Apergis

    (University of Macedonia)

  • Stephen M. Miller

    (University of Nevada, Las Vegas, and University of Connecticut)

Abstract

This paper investigates the presence of asymmetric effects of stock returns on real consumption in the US. After identifying the asymmetric behavior for consumption as well as the wealth effect, the results confirm that stock returns have an asymmetric effect on real consumption, with negative 'news' affecting consumption more than positive 'news'.

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File URL: http://www.econ.uconn.edu/working/2004-19.pdf
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Bibliographic Info

Paper provided by University of Connecticut, Department of Economics in its series Working papers with number 2004-19.

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Length: 13 pages
Date of creation: Apr 2004
Date of revision:
Handle: RePEc:uct:uconnp:2004-19

Note: The authors express special thanks to Angelos Antzoulatos, Georgios Karras, and Plutarchos Sakellaris for their comments on an earlier draft. Nonetheless, the usual disclaimer applies.
Contact details of provider:
Postal: University of Connecticut 341 Mansfield Road, Unit 1063 Storrs, CT 06269-1063
Phone: (860) 486-4889
Fax: (860) 486-4463
Web page: http://www.econ.uconn.edu/
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Related research

Keywords: Consumption; Stock market; Wealth effect; Asymmetry;

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References

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  24. James M. Poterba, 2000. "Stock Market Wealth and Consumption," Journal of Economic Perspectives, American Economic Association, vol. 14(2), pages 99-118, Spring.
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Citations

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Cited by:
  1. Robert Paul Berben & Kerstin Bernoth & Mauro Mastrogiacomo, 2006. "Households' Response to Wealth Changes: Do Gains or Losses make a Difference?," DNB Working Papers 090, Netherlands Central Bank, Research Department.
  2. Gupta, Rangan & Modise, Mampho P., 2012. "South African stock return predictability in the context data mining: The role of financial variables and international stock returns," Economic Modelling, Elsevier, vol. 29(3), pages 908-916.
  3. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers 201224, University of Pretoria, Department of Economics.

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