The Role of Consumer Confidence as a Leading Indicator on Stock Returns: A Markov Switching Approach

Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics

Koy AYBEN¹  Akkaya MURAT² 

[1] Istanbul Commerce University, Istanbul, Turkey;Istanbul Gelisim University, Istanbul, Turkey;

关键词: Behavioral Finance;    Consumer Confidence;    Stock Returns;    Markov Regime Switching;    Nonlinearity;   

DOI  :  

来源: DOAJ

【 摘 要 】

Investor’s psychological and emotional factors lead to irrationality in financial decision making and anomalies in prices. Investor sentiment and psychology help to elucidate phenomena in financial markets that cannot be explained by traditional theory. The aim of this study is two-fold: it investigates whether mutual regime switching behavior exists between the consumer indices and equity index, and examines their dynamics in response to each other in different regimes. This study applies the Markov Regime Switching model to monthly data from the BIST100 Return Index, Bloomberg Confidence Index, TUIK Confidence Index, Real Sector Confidence Index for the period between 2007:01 and 2016:06. The results indicate if consumer indices point out negative signals, capital market still gains in normal periods of economy. If they only in a recession or an expansion regime do, each of the indices moves in the same direction.

【 授权许可】

Unknown