Browse > Article
http://dx.doi.org/10.13106/jafeb.2020.vol7.no3.149

Macro and Non-macro Determinants of Korean Tourism Stock Performance: A Quantile Regression Approach  

JEON, Ji-Hong (School of Business, Hanyang University)
Publication Information
The Journal of Asian Finance, Economics and Business / v.7, no.3, 2020 , pp. 149-156 More about this Journal
Abstract
The study aims to investigate a close relation between macro and non-macro variables on stock performance of tourism companies in Korea. The sample used in this study includes monthly data from January 2001 to December 2018. The stock price index of the tourism companies as a dependent variable are obtained from Sejoong, HanaTour, and RedcapTour as three leading Korean tourism companies that have been listed on the Korea Stock Exchange. This study assesses the tourism stock performance using the quantile regression approach. This study also investigates whether global crisis events as the Iraq War and the global financial crisis as non-macro variables have a significant effect on the stock performance of tourism companies in Korea. The results show that the oil prices, exchange rate and industrial production have negative coefficients on stock prices of tourism companies, while the effects of tourist expenditure and consumer price index are positive and significant. We estimate the result of quantile regression that non-macro determinants have statistically a significant and negative effect on tourism stock performance because the global crisis could threaten traveler's safety and economy. Overall, empirical results suggest that the effects of macro and non-macro variables are statistically asymmetric and highly related to tourism stock performance.
Keywords
Tourism; Stock Performance; Macro and non-macro; Quantile Regression; Korea;
Citations & Related Records
Times Cited By KSCI : 7  (Citation Analysis)
연도 인용수 순위
1 Cunado, J., & Perez de Gracia, F. (2005). Oil prices, economic activity and inflation: Evidence for some Asian countries. Quarterly Review of Economics and Finance, 45(1), 65-83. https://doi.org/10.1016/j.qref.2004.02.003.   DOI
2 Demir, E., Alici, Z. A., & Lau, M. C. K. (2017). Macro explanatory factors of Turkish tourism companies' stock returns. Asia Pacific Journal of Tourism Research, 22(4), 370-380. https://doi.org/10.1080/10941665.2016.12718 14.   DOI
3 Asprem, M. (1989). Stock prices, asset portfolios and macroeconomic variables in ten European countries. Journal of Banking and Finance, 13(4-5), 589-612. https://doi.org/10.1016/0378-4266(89)90032-0.   DOI
4 Broadstock, D. C., Cao, H., & Zhang, D. (2012). Oil shocks and their impact on energy related stocks in China. Energy Economics, 34(6), 1888-1895. https://doi.org/ 10.1016/j.eneco.2012.08.008.   DOI
5 Koenker, R., & Bassett, G. (1978). Regression quantiles. Econometrica, 46(1), 33-50. https://doi.org/10.2307/ 1913643.   DOI
6 Dragouni, M., Filis, G., Gavriilidis, K., & Santamaria, D. (2016). Sentiment, mood and outbound tourism demand. Annals of Tourism Research, 60(1), 80-96. https://doi.org/10.1016/j.annals.2016.06.004.   DOI
7 Errunza, V., & Hogan, K. (1998). Macroeconomic determinants of European stock market volatility. European Financial Management, 4(3), 361-377. https://doi.org/10.1111/1468-036X.00071.   DOI
8 Hamilton, J. (2011). Nonlinearities and the macroeconomic effects of oil prices. Macroeconmic Dynamics, 15(3), 364-378. https://doi.org/10.1017/S1365100511000307.   DOI
9 Koenker, R., & Bassett, G. (1982). Robust tests for heteroscedasticity based on regression quantiles. Econometrica, 50(1), 43-62. https://doi.org/10.2307/ 1912528.   DOI
10 Lee, J. W., & Kwag, M. (2013). Green growth and sustainability: The role of tourism, travel and hospitality service industry in Korea. Journal of Distribution Science, 11(7), 15-22. http://dx.doi.org/10.13106/jds. 2013.vol11. no7.15.   DOI
11 Lee, J. W. & Syah, A. M. (2018). Economic and environmental impacts of mass tourism on regional tourism destinations in Indonesia. Journal of Asian Finance, Economics and Business, 5(3), 31-41. http://doi.org/10.13106/jafeb.2018.vol5.no3.31.   DOI
12 Liang, C. C., Lin, J. B., & Hsu, H. C. (2013). Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach. Economic Modelling, 32(1), 560-563. https://doi.org/10. 1016/j.econmod.2013.03.001.   DOI
13 Li, S., Blake, A., & Cooper, C. (2010). China's tourism in a global financial crisis: A computable general equilibrium approach. Current Issues in Tourism, 13(5), 435-453. https://doi.org/10.1080/13683500.2010.491899.   DOI
14 Park, H., & Park, S. (2019). The effect of emotional image on customer attitude. Journal of Asian Finance, Economics and Business, 6(3), 259-268. https://doi.org/10.13106/ jafeb.2019.vol6.no3.259.
15 Chang, W. S., & Lee, Y. H. (2017). The macroeconomic contribution to foreign-exchange earnings from tourism in Taiwan. Current Issues in Tourism, 20(11), 1110-1115. https://doi.org/10.1080/13683500.2016.1206062.   DOI
16 Chen, M. H., Kim, W. G. & Kim, H. J. (2005). The impact of macroeconomic and non-macroeconomic forces on hotel stock returns. International Journal of Hospitality Management, 24(2), 243-258. https://doi.org/10.1016/ j.ijhm.2004.06.008.   DOI
17 Chen, M. H. (2007). Macro and non-macro explanatory factors of Chinese hotel stock returns. Hospitality Management, 26(4), 991-1004. https://doi.org/10.1016/ j.ijhm.2006.04.002.   DOI
18 Chen, M. H., & Kim, H. J. (2010). Tourism expansion and corporate earnings in the tourism industry. Service Industries Journal, 30(6), 947-964. https://doi.org/ 10.1080/02642060802342646.   DOI
19 Cheng, X., & Jiang, K. (2017). Study on the Influencing Factors of TFP of Low-carbon Tourism Distribution. International Journal of Industrial Distribution & Business, 8(7), 13-20. http://dx.doi.org/10.13106/ ijidb.2017.vol8.no7.13.   DOI
20 Li, K., Jin, M., & Shi, W. (2018). Tourism as an important impetus to promoting economic growth: A critical review. Tourism Management Perspectives, 26(1), 135-142. https://doi.org/10.1016/j.tmp.2017.10.002.   DOI
21 Liu, A., & Pratt, S. (2017). Tourism's vulnerability and resilience to terrorism. Tourism Management, 60(1), 404-417. https://doi.org/10.1016/j.tourman.2017.01.001.   DOI
22 Lo, A., & Lam, T. (2004). Long-haul and short-haul outbound allinclusive package tours. Asia Pacific Journal of Tourism Research, 9(2), 161-176. https://doi.org/10.1080/1094166042000233694.   DOI
23 Lv, Z., & Xu, T. (2017). A panel data quantile regression analysis of the impact of corruption on tourism. Current Issues in Tourism, 20(6), 603-616. https://doi.org/10.1080/13683500.2016.1209164.   DOI
24 Marrocu, E., Paci, R., & Zara, A. (2015). Micro-economic determinants of tourist expenditure: a quantile regression approach. Tourism Management, 50(1), 13-30. https://doi.org/10.1016/j.tourman.2015.01.006.   DOI
25 Nandha, M., & Faff, R. (2008). Does oil move equity prices? A global view. Energy Economics, 30(3), 986-997. https://doi.org/10.1016/j.eneco.2007.09.003.   DOI
26 Nusair, S. A., & Olson, D. (2019). The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis. Energy Economics, 78(1), 44-63. https://doi.org/10.1016/j.eneco.2018.11.009.   DOI
27 Tsai, I. C. (2012). The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach. Journal of International Financial Markets, Institutions and Money, 22(3), 609-621. http://dx.doi.org/10.1016/j.intfin.2012.04.005.   DOI
28 Poon, S., & Taylor, S. J. (1991). Macroeconomic factors and the UK stock market. Journal of Business Finance & Accounting, 18(5), 619-636. https://doi.org/10.1111/ j.1468-5957.1991.tb00229.x.   DOI
29 Rittichainuwat, B. N., & Chakraborty, G. (2009). Perceived travel risks regarding terrorism and disease: The case of Thailand. Tourism Management, 30(3), 410-418. https://doi.org/10.1016/ j.tourman.2008.08.001.   DOI
30 Singal, M. (2012). Effect of consumer sentiment on hospitality expenditures and stock China returns. International Journal of Hospitality Management, 31(2), 511-521. https://doi.org/10.1016/j.ijhm.2011.07.009.   DOI
31 Wong, H. T. (2017). Real exchange rate returns and real stock price returns. International Review of Economics and Finance, 49(1), 340-352. http://dx.doi.org/10.1016/ j.iref.2017.02.004.   DOI
32 Wong, K. K. F., & Song, H. (2006). Do macroeconomic variables contain any useful information for predicting changes in hospitality stock indices? Journal of Hospitality and Tourism Research, 30(1), 16-33. https://doi.org/10.1177/1096348005284267.   DOI
33 Yespayev, S. S. (2014). Priorities, mechanisms and prospects on industrial clusters and special economic zones in Kazakhstan. Journal of Asian Finance, Economics and Business, 1(2), 15-24. https://doi.org/10.13106/jafeb. 2014.vol1.no2.15.
34 You, W., Guo, Y., Zhu, H., & Tang, Y. (2017). Oil Price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression. Energy Economics, 68(1), 1-18. https://doi.org/10.1016/j.eneco.2017.09.007.
35 Zhang, J., & Lee, H.-Y. (2016). The Word-of-Mouth Effects on the Chinese Customers' Choice Intention of Medical Tourism Destination. Journal of Distribution Science, 14(7), 21-31. http://dx.doi.org/10.15722/jds.14.7. 201607.21   DOI
36 Yu, W., Lee, J.-H., & Kim, H.-K. (2014). The influence of SNS characteristics on tourist attractions preference: Focus on China. Journal of Distribution Science, 12(9), 53-63. http://dx.doi.org/10.15722/jds.12.9.201409.53.   DOI