The Relation between Confidence Climate and Stock Returns: The Case of Turkey

Kale, S., & Akkaya, M. (2016). The Relation between Confidence Climate and Stock Returns: The Case of Turkey. Procedia Economics and Finance, 38, 150-162. doi/10.1016/S2212-5671(16)30186-1

Posted: 23 Feb 2017

See all articles by Süleyman Kale

Süleyman Kale

Kırklareli University

Murat Akkaya

T:C. İstanbul Arel University

Date Written: June 1, 2016

Abstract

This study examines the relations between consumer confidence, reel sector confidence and five different stock indices (aggregate, financial, industrial, service and technological) with VAR models. Michigan University Sentiment Index, VIX volatility index and GFK Germany Consumer Climate Index are also associated into the models to investigate international effects. The results suggest that, there is no causality relation from consumer confidence towards stock returns, however, stock returns found to positively affect consumer confidence. On the other hand, two-way causality exists between reel sector confidence index and stock returns, each one effects the other with certain lag of time. Michigan University Consumer Sentiment Index and VIX volatility index have explanatory power on almost all stock indices of Turkey, but GFK Germany Consumer Climate Index has no effect on any stock returns in all models. This may indicate that, globalization takes part in domestic markets, and rather than Germany, USA confidence climate is more felt in Turkey.

Keywords: Consumer confidence; investor confidence; sentiment and stock returns

Suggested Citation

Kale, Süleyman and Akkaya, Murat, The Relation between Confidence Climate and Stock Returns: The Case of Turkey (June 1, 2016). Kale, S., & Akkaya, M. (2016). The Relation between Confidence Climate and Stock Returns: The Case of Turkey. Procedia Economics and Finance, 38, 150-162. doi/10.1016/S2212-5671(16)30186-1, Available at SSRN: https://ssrn.com/abstract=2922619

Süleyman Kale (Contact Author)

Kırklareli University ( email )

Kepirtepe Mevkii
Lüleburgaz
Kırklareli, 39750
Turkey

HOME PAGE: http://personel.klu.edu.tr/suleymankale

Murat Akkaya

T:C. İstanbul Arel University ( email )

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