Examining the Stock Index of the Tourism Industry and the Existence of a Bubble in Stock Prices throughout the Tourism Industry

Song, Min-Kyung; Kim， Sang Hyuck

Journal of Tourism Sciences

Abbr : JTS
2016, 40(10), pp.29-42
Publisher : The Tourism Sciences Society Of Korea
Research Area : Tourism

Song, Min-Kyung ¹, Kim， Sang Hyuck ²

¹가천대학교
²가천대학교

ABSTRACT

The purpose of this study is to develop precise stock indices for the tourism industry and its sub-sectors, as well as to investigate the presence of a stock bubble in the market. Data on stock prices and fundamental values (PER & PBR) were collected from 16 tourism firm between January, 2008 and December, 2015. Tests were conducted to examine the existence of a unit root and stationarity within the time series data. Results showed that stock index, PER, and PBR data were not stationary with a unit root. Johansen’s Co-integration Test was also used to determine whether a bubble existed in the stock market. Results did not show co-integrated relationships between stock index and fundamental values for the tourism industry and its respective sub-sectors. Findings support the existence of a stock bubble throughout the tourism industry in the stock market.
KEYWORDS

Tourism industry, Fundamental value, Johansen’s Cointegration Test, Stock bubble
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