The effects of public sentiments and feelings on stock market behavior: Evidence from Australia

•Asymmetric and nonlinear effects of consumer sentiments on industry stock returns and volatility in Australia is examined.•We use the consumer sentiments of rural Australia and different age groups.•We apply the nonparametric causality-in-quantile model.•Asymmetric and unidirectional causality-in-returns from consumer sentiments to industry stock returns is found.•The causality-in-variance result indicates a transfer of risk from sentiments to industry stock returns.