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Web of Proceedings - Francis Academic Press
Web of Proceedings - Francis Academic Press

Empirical Analysis of Consumer Confidence and Asset Pricing in Chinese Markets

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DOI: 10.25236/ecemis.2021.002


Chen Liu, Xuanchen Zhang

Corresponding Author

Chen Liu


Inspired by the development of behavioral finance and related research abroad, we decide to test the influence of consumer confidence index (CCI) on Chinese stock markets performance. Through empirical tests, we find that CCI has a strong explanatory power for small stocks with high book-to market value and the excess returns of stocks in the next period can be predicted through the CCI. In addition, stocks in different industries and organizational forms have different responses to CCI, indicating that the CCI can comprehensively reflect and quantify investors’ assessment of the current economic situations as well as their subjective future expectations.


Consumer confidence index, Asset pricing, Investor sentiment