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Consumer confidence and stock returns over market fluctuations

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  • Shiu-Sheng Chen

Abstract

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.

Suggested Citation

  • Shiu-Sheng Chen, 2012. "Consumer confidence and stock returns over market fluctuations," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1585-1597, October.
  • Handle: RePEc:taf:quantf:v:12:y:2012:i:10:p:1585-1597
    DOI: 10.1080/14697688.2011.565363
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    File URL: http://hdl.handle.net/10.1080/14697688.2011.565363
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    Cited by:

    1. Valadkhani, Abbas, 2014. "Analysing interest rate mark-ups in the Australian mortgage market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 343-361.

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