Macro explanatory factors of Turkish tourism companies’ stock returns

Demir, Ender, Alıcı, Zeynep Aslı and Lau, Chi Keung (2017) Macro explanatory factors of Turkish tourism companies’ stock returns. Asia Pacific Journal of Tourism Research, 22 (4). pp. 370-380. ISSN 1094-1665

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This study examines whether the stock prices of Turkish tourism companies respond to growth in eight macro-economic variables namely, consumer price index, imports, exchange rate, consumer confidence index, oil price, money supply, foreign tourist arrivals, and monthly stock market return. By applying the Granger causality procedure, we find that growth in the consumer confidence index and imports could Granger cause tourism companies’ stock returns among eight macro factors in Turkey during the 2005 to 2013 period. After considering the structural break that occurred in 2007, the pre-break results indicate that the consumer confidence index, exchange rate, and foreign tourist arrivals could Granger cause tourism stock returns. However, the results in the post-structural break period reveal that only growths in oil prices and imports are significant.

Item Type: Article
Uncontrolled Keywords: Borsa Istanbul, macro-economic variables, tourism index return, Turkey, Granger causality
Subjects: L100 Economics
N100 Business studies
Department: Faculties > Business and Law > Newcastle Business School
Depositing User: Becky Skoyles
Date Deposited: 30 Jan 2017 16:42
Last Modified: 31 Jul 2021 21:45

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