The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle
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Data de Publicação: | 2016 |
Outros Autores: | , , , |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | Revista Contabilidade & Finanças (Online) |
Texto Completo: | https://www.revistas.usp.br/rcf/article/view/121495 |
Resumo: | The aim of this paper is to determine the relationship between market sentiment and rates of return on the main Portuguese benchmark and verify whether this relationship is influenced by different economic cycles. Given the subjectivity inherent to the use of variables capturing investor sentiment, the Consumer Confidence Index (CCI) was used as a benchmark. To achieve the proposed objective, an analysis of time series stationarity, Pearson correlation, and Granger causality using the autoregressive vectors model was carried out, followed by the Least Squares Method with macroeconomic variables. The results obtained suggest a one-way relationship between stock market returns and the sentiment variable. In fact, in times of recession, investor pessimism induces linear behavior and the sentiment-return relationship is more evident. This article will thus be of interest both to the academic community, in providing a basis for future investigations, and to managers and investors, with regards to the perception that the predictability of returns will be easier in periods of recession. |
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Revista Contabilidade & Finanças (Online) |
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The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle Relação unidirecional entre confiança do consumidor e rentabilidade do PSI-20 - Influência do ciclo econômico The aim of this paper is to determine the relationship between market sentiment and rates of return on the main Portuguese benchmark and verify whether this relationship is influenced by different economic cycles. Given the subjectivity inherent to the use of variables capturing investor sentiment, the Consumer Confidence Index (CCI) was used as a benchmark. To achieve the proposed objective, an analysis of time series stationarity, Pearson correlation, and Granger causality using the autoregressive vectors model was carried out, followed by the Least Squares Method with macroeconomic variables. The results obtained suggest a one-way relationship between stock market returns and the sentiment variable. In fact, in times of recession, investor pessimism induces linear behavior and the sentiment-return relationship is more evident. This article will thus be of interest both to the academic community, in providing a basis for future investigations, and to managers and investors, with regards to the perception that the predictability of returns will be easier in periods of recession. Este trabalho tem como principal objetivo determinar a relação entre sentimento de mercado e taxas de retorno no principal benckmark português e verificar se essa relação é influenciada pelos diferentes ciclos econômicos. Dada a subjetividade inerente à utilização de variáveis que identifiquem o sentimento dos investidores, o Índice de Confiança do Consumidor (ICC) foi utilizado como indicador de referência. Para alcançar o objetivo proposto, foi realizada análise da estacionariedade das séries temporais, correlação de Pearson e causalidade de Granger utilizando o modelo de vetores autorregressivos e, posteriormente, o Método dos Mínimos Quadrados com variáveis macroeconômicas. Os resultados obtidos sugerem uma relação unidirecional dos retornos do mercado de ações na variável sentimento. De fato, em períodos de recessão, o pessimismo dos investidores induz a comportamentos lineares e a relação sentimento-retorno é mais evidente. Assim, este artigo proporcionará duplo interesse: para a comunidade acadêmica, fornecendo base para investigações futuras, e para gestores e investidores, quanto à percepção de que a previsibilidade dos retornos será mais fácil em períodos recessivos. Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária2016-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfhttps://www.revistas.usp.br/rcf/article/view/12149510.1590/1808-057X201602280Revista Contabilidade & Finanças; v. 27 n. 72 (2016); 363-377Revista Contabilidade & Finanças; Vol. 27 No. 72 (2016); 363-377Revista Contabilidade & Finanças; Vol. 27 Núm. 72 (2016); 363-3771808-057X1519-7077reponame:Revista Contabilidade & Finanças (Online)instname:Universidade de São Paulo (USP)instacron:USPengporhttps://www.revistas.usp.br/rcf/article/view/121495/118385https://www.revistas.usp.br/rcf/article/view/121495/118386Copyright (c) 2018 Revista Contabilidade & Finançasinfo:eu-repo/semantics/openAccessNeves, Maria Elisabete DuarteGonçalves, Luís Miguel Aragão DuarteRibeiro, Mario Joaquim SilvaFeiteira, Paulo Jorge SantiagoViseu, Clara Margarida Pisco2016-10-04T11:30:51Zoai:revistas.usp.br:article/121495Revistahttp://www.revistas.usp.br/rcf/indexPUBhttps://old.scielo.br/oai/scielo-oai.phprecont@usp.br||recont@usp.br1808-057X1519-7077opendoar:2016-10-04T11:30:51Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle Relação unidirecional entre confiança do consumidor e rentabilidade do PSI-20 - Influência do ciclo econômico |
title |
The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle |
spellingShingle |
The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle Neves, Maria Elisabete Duarte |
title_short |
The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle |
title_full |
The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle |
title_fullStr |
The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle |
title_full_unstemmed |
The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle |
title_sort |
The unidirectional relationship between consumer confidence and PSI-20 returns - The influence of the economic cycle |
author |
Neves, Maria Elisabete Duarte |
author_facet |
Neves, Maria Elisabete Duarte Gonçalves, Luís Miguel Aragão Duarte Ribeiro, Mario Joaquim Silva Feiteira, Paulo Jorge Santiago Viseu, Clara Margarida Pisco |
author_role |
author |
author2 |
Gonçalves, Luís Miguel Aragão Duarte Ribeiro, Mario Joaquim Silva Feiteira, Paulo Jorge Santiago Viseu, Clara Margarida Pisco |
author2_role |
author author author author |
dc.contributor.author.fl_str_mv |
Neves, Maria Elisabete Duarte Gonçalves, Luís Miguel Aragão Duarte Ribeiro, Mario Joaquim Silva Feiteira, Paulo Jorge Santiago Viseu, Clara Margarida Pisco |
description |
The aim of this paper is to determine the relationship between market sentiment and rates of return on the main Portuguese benchmark and verify whether this relationship is influenced by different economic cycles. Given the subjectivity inherent to the use of variables capturing investor sentiment, the Consumer Confidence Index (CCI) was used as a benchmark. To achieve the proposed objective, an analysis of time series stationarity, Pearson correlation, and Granger causality using the autoregressive vectors model was carried out, followed by the Least Squares Method with macroeconomic variables. The results obtained suggest a one-way relationship between stock market returns and the sentiment variable. In fact, in times of recession, investor pessimism induces linear behavior and the sentiment-return relationship is more evident. This article will thus be of interest both to the academic community, in providing a basis for future investigations, and to managers and investors, with regards to the perception that the predictability of returns will be easier in periods of recession. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-12-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/121495 10.1590/1808-057X201602280 |
url |
https://www.revistas.usp.br/rcf/article/view/121495 |
identifier_str_mv |
10.1590/1808-057X201602280 |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/121495/118385 https://www.revistas.usp.br/rcf/article/view/121495/118386 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2018 Revista Contabilidade & Finanças info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2018 Revista Contabilidade & Finanças |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
dc.source.none.fl_str_mv |
Revista Contabilidade & Finanças; v. 27 n. 72 (2016); 363-377 Revista Contabilidade & Finanças; Vol. 27 No. 72 (2016); 363-377 Revista Contabilidade & Finanças; Vol. 27 Núm. 72 (2016); 363-377 1808-057X 1519-7077 reponame:Revista Contabilidade & Finanças (Online) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Revista Contabilidade & Finanças (Online) |
collection |
Revista Contabilidade & Finanças (Online) |
repository.name.fl_str_mv |
Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
recont@usp.br||recont@usp.br |
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1787713777289920512 |