Consumer confidence announcements: do they matter?
This paper examines the response of financial markets to consumer confidence announcements during 1980-93. Several hypotheses are tested to examine the impact of consumer confidence announcements on the conditional mean and the conditional volatility of stock, bond and foreign exchange prices. Despite a plethora of causal empiricism in the popular press, consumer confidence appears to influence only the Dow Jones Industrial Average, and not bond or other stock indexes. However, changes in the consumer confidence index are found to have asymmetric effects on the dollar exchange rates of five major currencies. Finally, we find that the impact of the consumer confidence index on the conditional volatility is not uniform across five major currencies.
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Volume (Year): 8 (1998)
Issue (Month): 2 ()
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