Document Type
Conference Proceeding
Publication Title
Buletin Ekonomi Moneter dan Perbankan
ISSN
14108046
Volume
23
First Page
1
Last Page
14
Publisher
Bank Indonesia Institute
School
School of Business and Law
RAS ID
32514
Abstract
© Buletin Ekonomi Moneter dan Perbankan 2020. All Rights Reserved. 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.
DOI
10.21098/bemp.v23i0.1194
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial 4.0 License
Comments
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