• Deepa Bannigidadmath Edith Cowan University
Keywords: Stock returns, Consumer sentiment, Predictability, Business cycle


This paper examines whether consumer sentiment predicts the excess returns of theaggregate market and nine industries from the Indonesia equity market. We discoverevidence of predictability for three industries; however, the magnitude of predictabilityare heterogeneous. Some sectors are predictable during expansions, whereas others areonly predictable during recessions. There is no evidence of the reversal of the impact ofconsumer sentiment on stock returns. We conduct several robustness tests that include(i) estimating a predictive regression model with a feasible quasi-generalized leastsquares–based estimator and (ii) accounting for structural breaks. These tests confirmthe baseline results.


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How to Cite
Bannigidadmath, D. (2020). CONSUMER SENTIMENT AND INDONESIA’S STOCK RETURNS. Buletin Ekonomi Moneter Dan Perbankan, 23, 1 - 12.