Abstract
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.
Highlights
Several studies have investigated the relationship between stock returns and consumer confidence
The sign and the statistically significance of the crude oil coefficient imply the vital gravity of energy prices on the economy, and on the consumer confidence
The GARCH persistent parameter (c2 coefficient) is high (0.859), which indicates that old news has a substantial persistent effect on price change
Summary
Nikolaos Sariannidis, Grigoris Giannarakis, Xanthi Partalidou and Bakas Evangelos (2017). The effect of Dow Jones Sustainability Index on Consumer Sentiment Index . Investment Management and Financial Innovations, 14(1), 8995. doi:10.21511/imfi.14(1).2017.09 http://dx.doi.org/10.21511/imfi.14(1).2017.09 This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License "Investment Management and Financial Innovations"
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