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How influential the market confidence in determining the global stock returns

Link to publisher's homepage at https://amci.unimap.edu.my/

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Main Authors: Y. Q. Foong, W. X. Liew, S. K. Sek
Other Authors: sksek@usm.my
Format: Article
Language:English
Published: Institute of Engineering Mathematics, Universiti Malaysia Perlis 2022
Subjects:
Asymmetric effects
Global stock return
Market confidence
Online Access:http://dspace.unimap.edu.my:80/xmlui/handle/123456789/74378
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spelling my.unimap-743782022-02-18T07:04:15Z How influential the market confidence in determining the global stock returns Y. Q. Foong W. X. Liew S. K. Sek sksek@usm.my Asymmetric effects Global stock return Market confidence Link to publisher's homepage at https://amci.unimap.edu.my/ Market confidence and investment behavior and decision are closely related. This study conducts an empirical analysis to examine how influential the market confidence (consumer and business levels) in determining the performance of global stock returns. Specifically, the study seeks to reveal if market confidence has asymmetric influences on stock return and how the effect changes across sectors. For the purpose of analysis, we utilize the nonlinear autoregressive distributed lags (NARDL) model by examining the ten sectoral global Morgan Stanley Capital International (MSCI) monthly data ranging from the year 1995 to 2016. Our results showed that both consumer and business confidences have asymmetric effects and their impacts are captured in both short-term and long-term. In particular, the impact of consumer confidence is relatively larger than that of business confidence and varied across sectors. The increase of business confidence leads to higher stock returns in the sector of energy, financials, health care, and utilities while the increase in consumer confidence improves the return of health care and real estate. On the other hand, the decrease of consumer confidence imposes a negative impact on the return of energy, financials, industry, and utilities. In general, the energy and industry sectors are more affected by market confidence while no long-run impact is found in communication services and information technology sectors. 2022-02-18T07:04:15Z 2022-02-18T07:04:15Z 2021-12 Article Applied Mathematics and Computational Intelligence (AMCI), vol.10(1), 2021, pages 220-236 2289-1315 (print) 2289-1323 (online) http://dspace.unimap.edu.my:80/xmlui/handle/123456789/74378 https://amci.unimap.edu.my/ en Institute of Engineering Mathematics, Universiti Malaysia Perlis
institution Universiti Malaysia Perlis
building UniMAP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Perlis
content_source UniMAP Library Digital Repository
url_provider http://dspace.unimap.edu.my/
language English
topic Asymmetric effects
Global stock return
Market confidence
spellingShingle Asymmetric effects
Global stock return
Market confidence
Y. Q. Foong
W. X. Liew
S. K. Sek
How influential the market confidence in determining the global stock returns
description Link to publisher's homepage at https://amci.unimap.edu.my/
author2 sksek@usm.my
author_facet sksek@usm.my
Y. Q. Foong
W. X. Liew
S. K. Sek
format Article
author Y. Q. Foong
W. X. Liew
S. K. Sek
author_sort Y. Q. Foong
title How influential the market confidence in determining the global stock returns
title_short How influential the market confidence in determining the global stock returns
title_full How influential the market confidence in determining the global stock returns
title_fullStr How influential the market confidence in determining the global stock returns
title_full_unstemmed How influential the market confidence in determining the global stock returns
title_sort how influential the market confidence in determining the global stock returns
publisher Institute of Engineering Mathematics, Universiti Malaysia Perlis
publishDate 2022
url http://dspace.unimap.edu.my:80/xmlui/handle/123456789/74378
_version_ 1729704763328561152
score 13.214268

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