The effect of Dow Jones Sustainability Index on Consumer Sentiment Index

  • Published March 31, 2017
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  • DOI
    http://dx.doi.org/10.21511/imfi.14(1).2017.09
  • Article Info
    Volume 14 2017, Issue #1, pp. 89-95
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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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    • Fig. 1. Conditional volatility estimated from modeling GARCH(1,1)
    • Table 1. Sample statistics
    • Table 2. Test for serial dependence in the first and second moments of CSI series
    • Table 3. Diagnostics on standardized and squared standardized residuals
    • Table 4. Mean equations
    • Table 5. Variance equations