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Consumer Sentiment and Indonesia's Stock Returns
This paper examines whether consumer sentiment predicts the excess returns of the aggregate market and nine industries from the Indonesia equity market. We discover evidence of predictability for three industries; however, the magnitude of predictability are heterogeneous. Some sectors are predictable during expansions, whereas others are only predictable during recessions. There is no evidence of the reversal of the impact of consumer sentiment on stock returns. We conduct several robustness tests that include (i) estimating a predictive regression model with a feasible quasi-generalized least square–based estimator and (ii) accounting for structural breaks. These tests confirm the baseline results.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Majalah) | 1 |
| Penerbit | Jakarta: Bank Indonesia 2020 |
|---|---|
| Edisi | 13th BMEB Call for Papers Special Issue, Volume 23 |
| Subjek | Indonesia Stock Returns Consumer sentiment |
| ISBN/ISSN | 2460-9196 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 152 p. |
| Info Detail Spesifik | Bulletin of Monetary Economics and Banking |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |