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Information Spillover Effects from Macroeconomic Variables to Hotel·Leisure Stock Index  

Kim, Soo-Kyung (Dept. of Finance and Accounting, Tongmyong University)
Yu, Seo-Young (Dept. of Business Administration, Kyungsung University)
Byun, Youngtae (Dept. of Business Administration, Kyungsung University)
Publication Information
Culinary science and hospitality research / v.22, no.3, 2016 , pp. 212-223 More about this Journal
Abstract
The purpose of this study is to verify information spillover effects using returns of macroeconomic variables and hotel leisure stock index daily data from January 4, 2000 to December 30, 2015. The findings and implications of the research can be summarized as follows. First, based on time-varying AR(1)-GARCH(1,1) models no evidence of statistically significant conditional mean and volatility spillover effects from returns of macroeconomic variables on the hotel leisure stock index was observed. In addition, no evidence of price volatility spillover from macroeconomic variables on the hotel leisure market was observed. Second, it was discovered that there exists a significantly negative relationship between the return of ER and hotel leisure stock prices, but a positive relationship between the KOSPI and hotel leisure stock prices. Finally, the study also found that was a significantly positive relationship between the volatility of DUB and hotel leisure market, and an adversely negative relationship between the volatility of ER and hotel leisure market. The results of this study are expected to contribute by providing useful information for investment strategies, as well as for risk management for investors and managers.
Keywords
information spillover effects; volatility spillover; GARCH; macroeconomic variables; hotel.leisure stock index;
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Times Cited By KSCI : 1  (Citation Analysis)
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