The effect of Dow Jones Sustainability Index on Consumer Sentiment Index
Journal: Investment Management and Financial Innovations (Vol.14, No. 1)Publication Date: 2017-05-16
Authors : Nikolaos Sariannidis; Grigoris Giannarakis; Xanthi Partalidou; Bakas Evangelos;
Page : 89-95
Keywords : Consumer Confidence; Dow Jones Sustainability Index; GARCH Model; US;
Abstract
This study intends to investigate whether stock returns affect the consumer sentiment. In particular, socially responsible companies are incorporated in the sample in order to capture the specification of socially responsible investors. For this reason, the University of Michigan Consumer Confidence Index is used as a proxy for consumer confidence, while data from Dow Jones Sustainability Index US is employed as a proxy for socially responsible companies for the period 1999-2016. The generalized autoregressive conditional heteroskedasticity model applied and illustrated that stock returns affect positively the consumer confidence. The result has important implications for investors and policy makers.
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Last modified: 2018-03-14 23:33:11