The effect of Dow Jones Sustainability Index on Consumer Sentiment Index

Investment Management & Financial Innovations

卷:14

Grigoris Giannarakis¹  Xanthi Partalidou²  Bakas Evangelos³  Nikolaos Sariannidis⁴ 

[1] Adjunct Professor, Department of Business Administration (Grevena), Western Macedonia University of Applied Sciences;

[2] Ph.D. Candidate, Department of Agricultural Development Pantazidou, Democritus University of Thrace;

[3] Postgraduate student, Department of Accounting and Finance, Western Macedonia University of Applied Sciences;

[4] Professor, Department of Accounting and Finance, Western Macedonia University of Applied Sciences;

关键词: Consumer Confidence;    Dow Jones Sustainability Index;    GARCH Model;    US;   

DOI  :  10.21511/imfi.14(1).2017.09

来源: DOAJ

【 摘 要 】

This study intends to investigate whether stock returns affect the consumer sentiment. In particular, socially responsible companies are incorporated in the sample in order to capture the specification of socially responsible investors. For this reason, the University of Michigan Consumer Confidence Index is used as a proxy for consumer confidence, while data from Dow Jones Sustainability Index US is employed as a proxy for socially responsible companies for the period 1999-2016. The generalized autoregressive conditional heteroskedasticity model applied and illustrated that stock returns affect positively the consumer confidence. The result has important implications for investors and policy makers.

【 授权许可】

Unknown