Nam K.Nguyen, Nga T.H.Nguyen, Diep T.N.Nguyen

ABSTRACT

This research examines the impact of business confidence and consumer confidence on stock market risk premiums. The result showed that consumer confidence has positive influence on stock market risk premiums. The variability of stock market risk premiums is explained by 4.72% of the variability of consumer confidence and 95.28% of the variability of itself in the second month. In the third month, the variability of stock market risk premiums is explained by 6.17% of the variability of consumer confidence and 93.82% of the variability of itself. After six months, the variability of stock market risk premiums is explained by 6.74% of the variability of consumer confidence and 93.26% of the variability of itself, this ratio is maintained stably for the next months. The result of using OLS estimation method has shown that business confidence and consumer confidence explained 10.29% of the variability of stock market risk premiums. However, the research has not found evidence of the impact of business confidence on the stock market risk premiums yet.