engleski

Personal Finances Vs. The Overall Economic Conditions : What Drives The New EU Member States’ Stock Markets?

This paper analyzes the leading characteristics of Consumer Confidence Index (CCI) with respect to stock market returns for 11 New EU Member States. It proposes novel CCI weights by minimizing mean squared errors from regression forecasting equations, using CCI lags as regressors. With regards to the obtained “optimal” weights, the examined countries group into a micro- and macro-oriented cluster. A strong shift is found in the weights due to the recent recession. The micro aspects (reflecting the wealth effect) severely lose their importance in the crisis, while the consumers’ macroeconomic sentiment grows in significance and constitutes a separate transmission channel.

consumer confidence ; business and consumer surveys ; stock market ; numerical optimization

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