再探消費者信心與股票報酬之連結

Abstract

This paper empirically investigates the relationship between consumer confidence and stock returns. First of all, we apply the structural VAR models to examine the role consumer confidence plays in the dynamics of stock returns and subsequently extract the structural shocks to consumer confidence, which are used as a proxy of market pessimism. We then apply Markov-switching models to investigate whether shocks to consumer confidence have negative effects on stock returns and whether the degree of the negative effects is asymmetric during different market states: bear and bull markets. Empirical evidence suggests that consumer confidence does play an important role in the process of stock returns, and shocks to consumer confidence have negative impacts on stock returns. Furthermore, the negative impacts from market pessimism are greater during bear markets while smaller during bull markets.