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

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

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

Creative Commons Attribution-Noncommercial 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial 4.0 License

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