A Study of the Relationship Between Stock Prices for Tourism Business-Related Companies and Macroeconomic Variables

Yong Jae Shin; Hong， MI-Young

doi:10.17086/JTS.2017.41.10.51.68

We examined the relationship between stock prices for tourism business-related companies and macro-economic variables in Korea. We used stock prices of 12 tourism business-related companies listed on the Korean Stock Exchange. The focus was specifically macro-economic variables such as the industrial production index, the exchange rate, and interest rates of CD throughout the period of January 2003 to December 2016 and these factors were used for the empirical analysis. We employed a panel unit root test and a panel co-integration test. The panel Granger causality test based on a panel VAR (vector autoregressive) model because panel data estimation procedures offer more robust estimates by utilizing variations between individual stocks as well as demonstrating variations over time. We also employed an estimate panel regression model with a fixed effect. The results prove that all macro-economic variables including exchange rates, the industrial production index and CD interest rates all influence stock prices of tourism business-related companies. This is proven according to both a panel Granger causality test and a panel regression analysis used throughout this research. The results are evidence that macroeconomic variables contain significant information that can help forecast stock prices of tourism business-related companies. To our knowledge, this study is one of the first to examine the relationship between stock prices of tourism business-related companies and macro-economic variables throughout Korea that employed panel VAR model and panel regression model.

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* 2021년 이후 발행 논문의 참고문헌은 현재 구축 중입니다.

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