Jawadi Fredj, Jawadi Nabila, Cheffou Abdoulkarim Idi
ULR 4999 - LUMEN, University of Lille, 59000 Lille, France.
IAEL Lille University School of Management, Campus Moulins, Office T3-05, 2 Rue Mulhouse, CS 10629, 59024 Lille, France.
Ann Oper Res. 2022 Jul 4:1-19. doi: 10.1007/s10479-022-04832-y.
This study aims to test the animal spirits theory by Akerlof and Shiller (Animal spirits - how human psychology drives the economy, and why it matters for global capitalism? Princeton University Press) for ethical stock markets using Islamic and sustainable stock indexes during calm and crisis periods. This question helps determine whether ethical finance is driven more by its specific rules or determined by animal spirits. We used data covering January 1996-September 2021, which includes both calm periods and crisis periods (dot-com bubble of 2000, subprime crisis of 2007, global financial crisis of 2008-2009, and COVID-19 recession). Accordingly, we applied different time series tests, ran a quantile regression, and built an econometric framework to empirically test the animal spirits theory. We provide two key findings. First, investor sentiment and consumer confidence significantly affect the dynamics of both ethical stock returns, suggesting further evidence of animal spirits. This finding supports the assumption that investors' emotions and sentiments affect their behaviors and related feelings, for example, spontaneous instinctive that urge to action than inaction, optimism, and so forth, might help to apprehend some investment actions. Second, and interestingly, animal spirit effects enter asymmetrically and nonlinearly as their effects on ethical stock returns are time-varying and vary with the quantile under consideration.
本研究旨在利用伊斯兰和可持续股票指数，在平静期和危机期对阿克洛夫和席勒提出的动物精神理论（《动物精神——人类心理如何驱动经济以及为何对全球资本主义至关重要？》，普林斯顿大学出版社）进行检验，以探究道德股票市场的情况。这个问题有助于确定道德金融是更多地由其特定规则驱动，还是由动物精神决定。我们使用了涵盖1996年1月至2021年9月的数据，其中包括平静期和危机期（2000年的互联网泡沫、2007年的次贷危机、2008 - 2009年的全球金融危机以及新冠疫情衰退）。相应地，我们应用了不同的时间序列检验，进行了分位数回归，并构建了一个计量经济学框架来实证检验动物精神理论。我们得出了两个关键发现。首先，投资者情绪和消费者信心显著影响道德股票回报的动态变化，这进一步证明了动物精神的存在。这一发现支持了这样一种假设，即投资者的情绪和情感会影响他们的行为及相关感受，例如，促使采取行动而非不行动的自发本能、乐观情绪等，可能有助于理解某些投资行为。其次，有趣的是，动物精神效应以不对称和非线性的方式进入，因为它们对道德股票回报的影响是随时间变化的，并且因所考虑的分位数而异。
