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The aim of this paper is to determine the relationship between market sentiment and rates of return on the main Portuguese benchmark and verify whether this relationship is influenced by different economic cycles. Given the subjectivity inherent to the use of variables capturing investor sentiment, the Consumer Confidence Index (CCI) was used as a benchmark. To achieve the proposed objective, an analysis of time series stationarity, Pearson correlation, and Granger causality using thedoi:10.1590/1808-057x201602280 fatcat:q7gz22uch5hnxbxkrzk5odhyye