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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62396完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳旭昇(Shiu-Sheng Chen) | |
| dc.contributor.author | Yu-Hsuan Wu | en |
| dc.contributor.author | 吳宇軒 | zh_TW |
| dc.date.accessioned | 2021-06-16T13:45:55Z | - |
| dc.date.available | 2018-07-24 | |
| dc.date.copyright | 2013-07-24 | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2013-07-08 | |
| dc.identifier.citation | Barsky, Robert B. and Sims, Eric R. (2012), “Information, animal spirits, and the meaning of innovations in consumer confidence”, American Economic Review, 102(4), 1343-77.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62396 | - |
| dc.description.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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T13:45:55Z (GMT). No. of bitstreams: 1 ntu-102-R00323002-1.pdf: 460118 bytes, checksum: 91671bf66c835b2f2d26aca7ae0e43e6 (MD5) Previous issue date: 2013 | en |
| dc.description.tableofcontents | Contents
1 Introduction 1 2 Econometric Framework 3 2.1 Relationships among Data 3 2.2 Measuring the Shock to Consumer Confidence 3 2.3 Market Pessimism and Stock Returns Fluctuations 4 3 Data and Preliminary Tests 6 4 Empirical Results 8 4.1 Relationships among Data 8 4.2 A Measure of Market Pessimism 11 4.3 Characterizing Fluctuations in the Stock Market 11 4.4 Impact of Con?dence Shocks on Returns during Market Fluctuations 14 5 Robustness Checks 17 5.1 Alternative Structural VAR Models 17 5.2 Alternative Markov-switching Models 19 5.3 Alternative Stock Market Indices 19 5.4 Alternative Identification of Stock Market Fluctuations 19 5.5 Alternative Measure of Consumer Confidence 23 6 Conclusion 25 Reference 26 | |
| dc.language.iso | en | |
| dc.subject | bear and bull markets | zh_TW |
| dc.subject | consumer confidence | zh_TW |
| dc.subject | stock returns | zh_TW |
| dc.subject | 消費者信心 | en |
| dc.subject | 熊市與牛市 | en |
| dc.subject | 股票報酬 | en |
| dc.title | 再探消費者信心與股票報酬之連結 | zh_TW |
| dc.title | Revisiting the Link between Consumer Confidence and Stock Returns | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 周有熙(Yu-Hsi Chou),陳南光(Nan-Kuang Chen) | |
| dc.subject.keyword | consumer confidence,stock returns,bear and bull markets, | zh_TW |
| dc.subject.keyword | 消費者信心,股票報酬,熊市與牛市, | en |
| dc.relation.page | 26 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2013-07-09 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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