The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model With Threshold Effects

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dc.conicet.fuenteindividual
dc.conicet.organizacionUniversity of London
dc.conicet.organizacionUniversity of Pennsylvania
dc.conicet.organizacionUniversidad Torcuato Di Tella. Departamento de Economía
dc.conicet.organizacionConsejo Nacional de Investigaciones Científicas y Técnicas
dc.conicet.organizacionUniversity of California at Berkeley
dc.conicet.paisOrganizacionReino Unido
dc.conicet.paisOrganizacionEstados Unidos
dc.conicet.paisOrganizacionArgentina
dc.conicet.paisOrganizacionArgentina
dc.conicet.paisOrganizacionEstados Unidos
dc.conicet.produccionid13161481
dc.contributor.authorPsaradakis, Zacharias
dc.contributor.authorRapetti, Francisco
dc.contributor.authorSola, Martin
dc.contributor.authorYunis, Patricio
dc.date.accessioned2026-08-05T11:28:09Z
dc.date.available2026-08-05T11:28:09Z
dc.date.issued2025-12
dc.date.updated2026-08-04T12:42:14Z
dc.description.abstractWe 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.es
dc.description.filFil: Psaradakis, Zacharias. University of London; Reino Unido
dc.description.filFil: Rapetti, Francisco. University of Pennsylvania; Estados Unidos
dc.description.filFil: Sola, Martin. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
dc.description.filFil: Yunis, Patricio. University of California at Berkeley; Estados Unidos
dc.formatapplication/pdfes
dc.identifier.citationPsaradakis, Zacharias; Rapetti, Francisco; Sola, Martin; Yunis, Patricio; The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model With Threshold Effects; Wiley Blackwell Publishing, Inc; Oxford Bulletin Of Economics And Statistics; 87; 6; 12-2025; 1146-1157es
dc.identifier.institucionalCONICET
dc.identifier.issn0305-9049es
dc.identifier.repoCONICET Digital
dc.identifier.urihttp://hdl.handle.net/11336/294006
dc.journal.ciudadLondreses
dc.journal.number6es
dc.journal.pagination1146-1157es
dc.journal.paisReino Unidoes
dc.journal.titleOxford Bulletin Of Economics And Statisticses
dc.journal.volume87es
dc.language.isoenges
dc.publisherWiley Blackwell Publishing, Inces
dc.relation.alternativeidinfo:eu-repo/semantics/altIdentifier/doi/https://doi.org/10.1111/obes.12682
dc.relation.alternativeidinfo:eu-repo/semantics/altIdentifier/url/https://onlinelibrary.wiley.com/doi/10.1111/obes.12682
dc.rightsinfo:eu-repo/semantics/openAccess*
dc.rights.urihttps://creativecommons.org/licenses/by/2.5/ar/*
dc.subjectconsumer sentimentes
dc.subjectmixture modelses
dc.subjectthresholdes
dc.subjecttime-varying mixing weightses
dc.subject.classificationEconomía, Econometríaes
dc.subject.classificationEconomía y Negocioses
dc.subject.classificationCIENCIAS SOCIALESes
dc.titleThe Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model With Threshold Effectses
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:ar-repo/semantics/artículo
dc.typeinfo:eu-repo/semantics/publishedVersion

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