CONSUMER SENTIMENT AND INDONESIA'S STOCK RETURNS

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

Abstract

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 squares–based estimator and (ii) accounting for structural breaks. These tests confirm the baseline results.

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Published
2020-01-31
How to Cite
Bannigidadmath, D. (2020). CONSUMER SENTIMENT AND INDONESIA’S STOCK RETURNS. Buletin Ekonomi Moneter Dan Perbankan, 23, 1 - 12. https://doi.org/10.21098/bemp.v23i0.1194