Aim of this study is to investigate the forecasting ability of consumer confidence index for ISE financial sector stock returns Regression analysis method is employed In this context stock returns of 28 financial sector companies are used as dependent variables for the period that spans from February 2002 to June 2005 Change in CNBC E Consumer Confidence Index and three control variables are used as independent variables Control variables are size premium value premium and ISE GDS Index returns Analysis results suggest that consumer confidence index is a significant factor for majority of the financial sector stocks Using control variables has not altered those results Key Words: Consumer confidence index ISE financial sector companies stock returns
📌 3 Key Takeaways
🎯
Objective & Hypothesis:Aim of this study is to investigate the forecasting ability of consumer confidence index for ISE financial sector stock returns Regression analysis method is employed In this context stock returns of 28 financial sector companies are used as dependent variables for the period that spans from February 2002 to June 2005 Change in CNBC E Consumer Confidence Index and three control variables are used as independent variables Control variables are size premium value premium and ISE GDS Index returns Analysis results suggest that consumer confidence index is a significant factor for majority of the financial sector stocks Using control variables has not altered those results Key Words: Consumer confidence index ISE financial sector companies stock returns
📊
Key Findings & Data:Aim of this study is to investigate the forecasting ability of consumer confidence index for ISE financial sector stock returns Regression analysis method is employed In this context stock returns of 28 financial sector companies are used as dependent variables for the period that spans from February 2002 to June 2005 Change in CNBC E Consumer Confidence Index and three control variables are used as independent variables Control variables are size premium value premium and ISE GDS Index returns Analysis results suggest that consumer confidence index is a significant factor for majority of the financial sector stocks Using control variables has not altered those results Key Words: Consumer confidence index ISE financial sector companies stock returns
💡
Conclusion & Impact:Aim of this study is to investigate the forecasting ability of consumer confidence index for ISE financial sector stock returns Regression analysis method is employed In this context stock returns of 28 financial sector companies are used as dependent variables for the period that spans from February 2002 to June 2005 Change in CNBC E Consumer Confidence Index and three control variables are used as independent variables Control variables are size premium value premium and ISE GDS Index returns Analysis results suggest that consumer confidence index is a significant factor for majority of the financial sector stocks Using control variables has not altered those results Key Words: Consumer confidence index ISE financial sector companies stock returns
Aim of this study is to investigate the forecasting ability of consumer confidence index for ISE financial sector stock returns Regression analysis method is employed In this context stock returns of 28 financial sector companies are used as dependent variables for the period that spans from February 2002 to June 2005 Change in CNBC E Consumer Confidence Index and three control variables are used as independent variables Control variables are size premium value premium and ISE GDS Index returns Analysis results suggest that consumer confidence index is a significant factor for majority of the financial sector stocks Using control variables has not altered those results Key Words: Consumer confidence index ISE financial sector companies stock returns
Özet
Bu çalışmanın amacı, tüketici güven endeksinin İMKB mali sektör şirketlerinin hisse senedi getirilerini tahmin etme kabiliyetini incelemektir. Çalışmada regresyon analizi yönteminden yararlanılmıştır. Bu bağlamda, Şubat 2002 – Haziran 2005 dönemi için 28 mali sektör şirketinin hisse senedi getirileri bağımlı değişken olarak kullanılmıştır. CNBC-E tüketici güven endeksinde değişim ile üç adet kontrol değişkeninden ise bağımsız değişkenler olarak yararlanılmıştır. Kontrol değişkenleri, büyüklük primi, değer primi ve İMKB DİBS endeksi getirisidir. Analiz sonuçları, tüketici güven endeksinin mali sektör hisse senetlerinin çoğunluğu için önemli bir faktör olduğunu göstermiştir. Modelde, kontrol değişkenlerine yer verilmesi de bu sonucu değiştirmemiştir
KANDIR, D. S. Y. (2006). Tüketici Güveni Ve Hisse Senedi Getirileri ilişkisi: imkb Mali Sektör Şirketleri Üzerinde Bir Uygulama. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Cilt: 15 - Sayı: 2, 217–230. https://ajindex.com/articles/74072
Acemoglu, Daron ve Andrew Scott (1994), “Consumer confidence and rational expectations: are agents' beliefs consistent with the theory?”, Economic Journal, c.104. S.422. ss.1-19.
Barber, Brad M. ve John D. Lyon (1997), “Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms”, Journal of Finance, c.52. S.2. ss.875-883.
Batchelor, Roy ve Pami Dua (1998), “Improving macro-economic forecasts the role of consumer confidence”, International Journal of Forecasting, c.14. ss.71–81.
Bram, Jason ve Sydney Ludvigson (1998), “Does consumer confidence forecast household expenditure? A sentiment index horse race”, FRBNY Economic Policy Review, c.4. S.2. ss. 59-78.
Breusch (1978), “Testing for Autocorrelation in Dynamic Linear Models,” Australian Economic Papers 17: 534-355.
Carroll, Christopher D., Jeffrey C. Fuhrer ve David W. Wilcox (1994), “Does consumer sentiment forecast household spending? If so, why?”, American Economic Review, c.84. S.5. ss.1397-1408.
Christ, Kevin P. ve Dale S. Bremmer (2003), “The relationship between consumer sentiment and stock prices”, 78th Annual Conference of the Western Economics Association International, 15 Temmuz 2003,
Denver-ABD. Dickey, David A. ve Wayne A. Fuller (1979), “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, c.74. S.366. ss.427-431. Doğukanlı Hatice ve Serkan Yılmaz Kandır (2002), “Çoklu beta finansal varlıkları değerleme modeli ve Türkiye’de bir uygulama”, İMKB Dergisi, c.6. S.23. ss.1- 14. Elton, Edwin J, Martin J. Gruber ve Jeffrey A. Busse (1998), “Do investors care about sentiment?”, Journal of Business, c.71. S.4. ss.477-500.
Ertek, Tümay (1996), Ekonometriye Giriş (İkinci Basım), İstanbul:
Beta Yayınları.
Fama, Eugene F. and Kenneth R. French (1992), “The cross-section of expected stock returns”, Journal of Finance, c.47. S.2. ss.427-465.
Fama, Eugene F. and Kenneth R. French (1995), “Size and book-to-market factors in earnings and returns”, Journal of Finance, c.50. S.1. ss.131-155.
Fisher, Kenneth L. ve Meir Statman (2003), “Consumer confidence and stock returns”,Journal of Portfolio Management, Fall 2003, ss.115-127.
Ghosh, Asim ve Ronnie Clayton (2004), “The relationship between the consumer sentiment index and the stock market”, 2004 FMA European Conference, 2-4 Haziran 2004, Zürih-İsvi