Vaasan yliopiston opinnäytteet

Kauppatieteellinen tiedekunta, 2012

Laaksoharju, Maarit

CORRELATION AND CAUSALITY BETWEEN CONSUMER SENTIMENT AND STOCK MARKETS: EVIDENCE FROM SP 500

Ohjaaja/Valvoja (DI):
Janne Äijö
Tutkinto:
Kauppatieteiden maisteri
Pääaine:
Laskentatoimi ja rahoitus
Linja:
Laskentatoimen ja rahoituksen yleinen linja
Tutkielman kieli:
Englanti
Sivumäärä:
72
The purpose of thesis is to investigate the relationship and causality between two im-portant consumer sentiment indices and the stock markets in United States. Used measures are monthly observations of Michigan Consumer sentiment MCSI and Con-ference board Consumer Confidence CCI. SP500 will represent the stock market and it will be divided in to 11 sector subsets to provide view in to the relationship among dif-ferent industries. Statistical methods used in this thesis are correlation and Granger cau-sality.
Avainsanat:
Consumer confidence, Granger causality
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