Loughborough University
Browse
Dotcom_consumerconfidence.pdf (197.74 kB)

Changes in the risk structure of stock returns: consumer confidence and the dotcom bubble

Download (197.74 kB)
preprint
posted on 2007-06-26, 15:35 authored by Lawrence Leger, Vitor Leone
Changes in the risk structure of stock returns may sometimes be very revealing. We examine economic variables that help explain principal components in UK stock returns, 01/1985 to 12/2001. The loading pattern on explanatory variables for the first component in a ‘bubble’ period is distinctive and consistent with a bubble/crash market. The second component shows a loading pattern on a Consumer Confidence variable in a pre-bubble period only. We observe apparently systematic changes in the structure of risk, and conjecture that Consumer Confidence captures a change in market sentiment that could be a signal for the evolution of stock prices.

History

School

  • Business and Economics

Department

  • Economics

Publication date

2007

Notes

This is a working paper. It is also available at: http://ideas.repec.org/p/lbo/lbowps/2007_15.html.

ISSN

1750-4171

Language

  • en

Usage metrics

    Loughborough Publications

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC