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The Role of Consumer Confidence as a Leading Indicator on Stock Returns: A Markov Switching Approach
16 references·2 citing·43 second hop
The Role of Consumer Confidence as a Leading Indicator on Stock Returns: A Markov Switching Approach (2017)The Role of Consumer Confidence as a Lead…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Business confidence and stock returns in the USA: a time-varying Markov regime-switching model (2011)Business confidence and stock…When Does Investor Sentiment Predict Stock Returns? (2010)When Does Investor Sentiment …Lack of consumer confidence and stock returns (2010)Lack of consumer confidence a…Consumer Confidence and Stock Prices (2008)Consumer Confidence and Stock…Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Consumer Confidence and Asset…An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns (2006)An econometric model of nonli…Consumer Confidence and Consumer Spending (2004)Consumer Confidence and Consu…Consumer Confidence and Asset Prices: Some Empirical Evidence (2004)Consumer Confidence and Asset…An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns (2004)An Econometric Model of Nonli…Consumer Confidence and Stock Returns (2003)Consumer Confidence and Stock…Comment and Discussion (2001)Comment and DiscussionThe Markov-Switching Vector Autoregressive Model (1997)The Markov-Switching Vector A…Regime switching in stock market returns (1997)Regime switching in stock mar…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …The Effects of Investor Sentiment on Stock Return Indices Under Changing Market Conditions: Evidence from South Africa (2025)The Effects of Investor Senti…Yatırımcı Duyarlılığı ve BIST100 Endeksi Arasındaki İlişki: Toda Yamamoto Nedensellik Uygulaması (2024)Yatırımcı Duyarlılığı ve BIST…Economic Forces and the Stock Market (1986)Business conditions and expected returns on stocks and bonds (1989)Investor Psychology and Security Market Under‐ and Overreactions (1998)The long of it: Odds that investor sentiment spuriously predicts anomaly returns (2014)The importance of fear: investor sentiment and stock market returns (2017)A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news (2021)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Efficient Capital Markets: II (1991)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Modeling the price dynamics of CO2 emission allowances (2008)Regime Changes and Financial Markets (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Manager sentiment and stock returns (2018)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The short of it: Investor sentiment and anomalies (2011)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and Stock Returns (2000)Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Investor sentiment and stock returns: Some international evidence (2009)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Sentiment and Economic Forces (2012)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)The Framing of Decisions and the Psychology of Choice (1981)Advances in prospect theory: Cumulative representation of uncertainty (1992)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Asset allocation under multivariate regime switching (2007)Real-time price discovery in global stock, bond and foreign exchange markets (2007)The Determinants of Stock and Bond Return Comovements (2010)In Search of Attention (2011)Policy Uncertainty and Corporate Investment (2015)
this work references cited by second hop

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 2006Consumer Confidence and Asset Prices: Some Empirical Evidence977 cited
  • 2004Consumer Confidence and Consumer Spending717 cited
  • 2003Consumer Confidence and Stock Returns412 cited
  • 1997Regime switching in stock market returns335 cited
  • 2010When Does Investor Sentiment Predict Stock Returns?274 cited
  • 2004Consumer Confidence and Asset Prices: Some Empirical Evidence260 cited
  • 2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns258 cited
  • 2010Lack of consumer confidence and stock returns144 cited
  • 2001Comment and Discussion116 cited
  • 1997The Markov-Switching Vector Autoregressive Model112 cited
  • 2004An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns80 cited
  • 2008Consumer Confidence and Stock Prices35 cited

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2011
Business confidence and stock returns in the USA: a time-varying Markov regime-switching model
31 cited

Cited by

  • 2025The Effects of Investor Sentiment on Stock Return Indices Under Changing Market Conditions: Evidence from South Africa15 cited
  • 2024Yatırımcı Duyarlılığı ve BIST100 Endeksi Arasındaki İlişki: Toda Yamamoto Nedensellik Uygulaması15 cited