Psaradakis, Zacharias and Rapetti, F. and Sola, M. and Yunis, P. (2025) The role of consumer sentiment in the stock market: a multivariate dynamic mixture model with threshold effects. Oxford Bulletin of Economics and Statistics , ISSN 0305-9049. (In Press)
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Abstract
We consider the relationship between stock prices, volatility and consumer sentiment. The analysis is based on a new multivariate model defined as a time-varying mixture of dynamic models in which contemporaneous relationships among variables are allowed and the mixing weights have a threshold-type structure. We discuss issues related to the stability of the model and the estimation of its parameters. Our empirical results show that consumer sentiment significantly affects the S&P 500 price--dividend ratio and market volatility in at least one of the model's two regimes, which are associated with endogenously determined low and high consumer sentiment.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Zacharias Psaradakis |
| Date Deposited: | 11 Apr 2025 12:45 |
| Last Modified: | 23 Apr 2025 06:22 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/55400 |
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