The effect of Dow Jones Sustainability Index on Consumer Sentiment Index
-
DOIhttp://dx.doi.org/10.21511/imfi.14(1).2017.09
-
Article InfoVolume 14 2017, Issue #1, pp. 89-95
- Cited by
- 1271 Views
-
358 Downloads
This work is licensed under a
Creative Commons Attribution-NonCommercial 4.0 International License
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.
- Keywords
-
JEL Classification (Paper profile tab)C58, Q40, Q50, M21
-
References20
-
Tables5
-
Figures1
-
- Fig. 1. Conditional volatility estimated from modeling GARCH(1,1)
-
- Table 1. Sample statistics
- Table 2. Test for serial dependence in the first and second moments of CSI series
- Table 3. Diagnostics on standardized and squared standardized residuals
- Table 4. Mean equations
- Table 5. Variance equations
-
- Ahmed, M. I., and Cassou, S. P. (2016). Does consumer confidence affect durable goods spending during bad and good economic times equally? Journal of Macroeconomics, 50, 86-97.
- Aloui, R., and Ben Aïssa, M. S. (2016). Relationship between oil, stock prices and exchange rates: A vine copula based GARCH method. North American Journal of Economics and Finance, 37, 458-471.
- Bendell, J., and Kearins, K. (2005). The political bottom line: the emerging dimension to corporate responsibility for sustainable development. Business Strategy and the Environment, 14(6), 372-383.
- Blanchard, O. (1993). Consumption and the recession of 1990-1991. American Economic Review, 83(2), 270-274.
- Bollerslev, Τ. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.
- Carroll, C., Fuhrer, J., and Wilcox, D. (1994). Does Consumer Sentiment Forecast Household Spending? If So, Why? American Economic Review, 84, 1397-1408.
- Chen, M.-H. (2015). Understanding the impact of changes in consumer confidence on hotel stock performance in Taiwan. International Journal of Hospitality Management, 50, 55-65.
- Chen, S.-S. (2011). Lack of consumer confidence and stock returns. Journal of Empirical Finance, 18(2), 225-236.
- Chen, S.-S. (2012). Consumer confidence and stock returns over market fluctuations. Quantitative Finance, 12(10), 1585-1597.
- Cont, R. (2001). Empirical properties of asset returns: stylized facts and statistical issues. Quantitative Finance, 1(2), 223-236.
- Curtin, R. T. (1982). Indicators of Consumer Behavior: The University of Michigan Surveys of Consumers. The Public Opinion Quarterly, 46(3), 340-352.
- Engle, R. (1982). Autorregressive Conditional Heteroskedasticity with Estimates of United Kingdom Inflation. Econometrica, 50, 987-1008.
- Hsu, C. C., Lin, H. Y., and Wu, J. Y. (2011). Consumer Confidence and Stock Markets: The Panel Causality Evidence. International Journal of Economics and Finance, 3(6), 91-98.
- Huth, W. L., Eppright, D. R., and Taube, P. M. (1994). The indexes of consumer sentiment and confidence: Leading or misleading guides to future buyer behavior. Journal of Business Research, 29 (3), 199-206.
- Ludvigson, S. C. (2004). Consumer confidence and consumer spending. Journal of Economic Perspective, 18(2), 29-50.
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-370.
- Otoo, M. W. (1999). Consumer sentiment and the stock market. Board of Governors of the Federal Reserve System, 1-16.
- Popa, R. A. (2014). The Corporate Social Responsibility Practices in The Context of Sustainable Development. The case of Romania. 2nd GLOBAL CONFERENCE on BUSINESS, ECONOMICS, MANAGEMENT and TO URISM, 30-31 October, Prague, Czech Republic.
- Singal, M. (2016). Effect of consumer sentiment on hospitality expenditures and stock returns. International Journal of Hospitality Management, 31(2), 511-521.
- Sirbu, R. M., Homorodean, A. P., and Draghici, A. (2014). The Sustainability Of Organizations From The Perspective Of Socially Responsible Investments, SEA – Practical Application of Science, 3(5), 585-594.