Buradasınız

Anasayfa » Content

The Relationship Between Consumers’ Expectation for the Future of Economy and Stock Value: A Cross-County Analysis

Tüketicilerin Ekonominin Geleceğine Dair Beklentileri ile Hisse Değeri Arasındaki İlişki: Ülke Karşılaştırmalı Bir Analiz

Journal Name:

  • Uluslararası Alanya İşletme Fakültesi Dergisi

Publication Year:

  • 2012

Key Words:

Keywords (Original Language):

Author Name
Abstract (2. Language): 
The objective of this paper is to investigate the relationship between consumers' expectations about the future of the economy and stock value in Turkey, Italy, Spain and Greece. The analyses were realized on the totally 121 observations, monthly frequency, belonging to period of January 2002-January 2012. For long term relationship between variables, cointegration method was employed. On the other hand, causality and impulse response methods were used to investigate into short term relationship between variables. After analyses implemented, it is captured that there is a short and long term relationship between consumers' expectations about the future of the economy and stock value in Turkey and Spain. The other empirical finding is that whereas the long term relationship is not available, short term causality relationships are observed in Italy and Greece. The Granger causality is from stock value to consumer confidence index in all examined countries. The response of the consumer confidence index is positive to shock originated in the stock index in all analyzed countries.
Bookmark/Search this post with
Abstract (Original Language): 
Bu çalışmanın amacı, tüketicilerin ekonominin geleceğine dair beklentiler ile hisse senedi değeri arasındaki uzun ve kısa dönemli ilişkileri Türkiye, İtalya, İspanya ve Yunanistan’da analiz etmektir. Analizler, 2002 Ocak- Ocak 2012 dönemine ait aylık frekansta 121 gözlemden oluşan veri seti kullanılarak gerçekleştirilmiştir. Çalışmada incelenen değişkenler arasındaki uzun dönemli ilişkiler eşbütünleşme yöntemi kullanılarak incelenmiştir. Kısa dönemli ilişkilerin araştırılmasında ise nedensellik ve etki tepki yöntemleri kullanılmıştır. Yapılan analizler sonunda, Türkiye ve İspanya’da tüketicilerin ekonominin geleceğine dair beklentileri ile hisse senedi değeri arasında kısa ve uzun dönemde bir ilişki olduğu tespit edilmiştir. İtalya ve Yunanistan’da ise tüketici güven endeksi ile hisse senedi değerleri arasında uzun dönemde bir ilişki tespit edilmemesine rağmen kısa dönemde hisse senedi değerinden güven endeksi yönünde nedensellik ilişkisi olduğu görülmüştür. Her bir ülke için yapılan etki tepki analizlerinde ise, hisse senedi değerinde ortaya çıkan bir şoka güven endeksinin pozitif yönde tepki verdiği ancak şiddetinin her bir ülke için farklı olduğu görülmüştür.
FULL TEXT (PDF): 
PDF icon arastirmax-relationship-between-consumers-expectation-future-economy-and-stock-value-cross-county-analysis.pdf
  • 2
107-115
  • Turkish

JEL Codes:

REFERENCES

References: 

BREMMER, D., 2008. Consumer Confidence and Stock Prices. Presented During Session #10e, “Beliefs, Preferences and Stock Prices.
At the 72nd Annual Meeting of the Midwest Economics Association Hyatt Regency, Chicago, Illinois, Saturday, March 16,
2008.
BROOKS, C. (2008). Introductory Econometrics for Finance, Second Edition,The ICMA Centre, Cambridge University Press, UK.
CARROLL, C.D., FUHRER, J., C., and WILCOX, D., W., (1994). Does consumer sentiment forecast household spending? If so, why?,
American Economic Review, 84, 1397-1408.
CBRT, (2012). http://www.tcmb.gov.tr/yeni/eng/ust.html
CHEN, S. S., (2011). Lack of Consumer Confidence and Stock Returns. Journal of Empirical Finance, Vol:18, No:2, 2011, pp. 225-236.
ECEFA,(2012). (http://ec.europa.eu/economy_finance/db_indicators/surveys/time_series/in...
ENDERS, W. (1995). Applied econometric time series. John Wiley & Sons, Inc., New York.
GRANGER, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424-
438.
GRENE, W. H. (2008). Econometric analysis. 6th Edition. Prentice Hall, Inc., New Jersey.
GUJARATI, D. N. (1999). Temel ekonometri. (Çev. Ü. Şenesen ve G.G. Şenesen), Literatür yayınları, İstanbul.
HONG, Y., TU, J., GUOFU, Z., (2007). Asymmetries in stock returns: statistical tests and economic evaluation. Rev. Financ. Stud. 20
(5), 1547–1581.
HUTH, W., EPPRIGHT, D. R. and TAUBE, P. M., (1994). The Indexes of Consumer Sentiment and Confidence: Leading or Misleading
Guides to Future Buyer Behavior. Journal of Business Research, Vol:29, No:3, pp. 199-206.
ULUSLARARASI ALANYA İŞLETME FAKÜLTESİ 4/2 (2012)
115
JANSEN, W., J., NAHUIS, J., N., 2002. The Stock Market and Consumer Confidence: European Evidence. Monetary and Economic
Policy Department, Central Bank of the Netherlands, July 2002, http://sentiment.technicalanalysis.org.uk/JaNa02.pdf.
JOHANSEN, S. (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press.
KATONA, G., (1968). Consumer Behavior: Theory and Findings on Expectations and Aspirations. The American Economic Review,
Vol:58, No:2, 1968, pp. 19-30.
KARNIZOVA, L., HASHMAT, K., (2010). The Stock Market and the Consumer Confidence Channel in Canada. Carleton Economic
Papers from Carleton University, Department of Economics No 10-08.
KREMER, M., WESTERMANN, T. (2004). Consumer Confidence and Stock Prices in the Euro Area: Is There a Relationship-and Does
it Matter? Proceedings of the 27th CIRET Conference, Warsaw. Retrieved from:
https://www.ciret.org/conferences/warsaw_2004/download/106_1_cs_kremer_w... mann.pdf (Accessed 23.06.2012)
LEMMON, M., PORTNIAGUINA, E., (2006). Consumer confidence and asset prices: some empirical evidence. Rev. Financ. Stud. 19
(4), 1499–1529.
MORCK, R., SHLEIFER, A., and VISHNY, R., (1990). The Stock Market and Investment: Is the Market a Sideshow?” Brookings
Papers on Economic Activity, 2, 157-202.
OSTERWALD-LENUM, M. (1992). A Note With Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration
Rank Test Statistics, Oxford Bulletin of Economics and Statistics. 54: 461-472.
OTOO, M., W., 1999. Consumer Sentiment and the Stock Market. Board of Governors of the Federal Reserve System, November.
http://www.federalreserve.gov/pubs/feds/1999/199960/199960pap.pdf .
POTERBA, J., M., SAMWICK, A., A. (1995). Stock Ownership Patterns, Stock Market Fluctuations, and Consumption. Brookings
Papers on Economic Activity, 2, 295-357.
ROMER, C.D. (1990), The Great Crash and the onset of the Great Depression, Quarterly Journal of Economics, 105, 597-624.
ROOS, M. W. M., (2008). Willingness to Consume and Ability to Consume. Journal of Economic Behavior and Organization, Vol:66,
No:2, 2008, pp. 387-402.
STATMAN, M., FISHER, K., L., 2002.Consumer Confidence and Stock Returns. Santa Clara University Dept. of Finance Working
Paper No. 02-02. Available at SSRN: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=317304.

Thank you for copying data from http://www.arastirmax.com