Politická ekonomie 2024, 72(4):626-652 | DOI: 10.18267/j.polek.1424

Examining the Relationship Between Tourism Index Return and Financial, Macroeconomic and Tourism Industry Development Indicators: An Application of MS-VAR Models

Yesim Helhel ORCID..., Eray Akgun ORCID...
Yesim Helhel: Akdeniz University, Tourism Faculty, Department of Tourism Management, Antalya, Turkey
Eray Akgun: Akdeniz University, Engineering Faculty, Department of Electrical and Electronics Engineering, Antalya, Turkey

The tourism industry has flourished considerably over the years in Turkey and has competed with top international destinations. This study aims to identify the structural breaks specific to Turkey with a developing capital market and examine the causality relationship between tourism index return and financial, macroeconomic and tourism industry development indicators from January 2005 to February 2022. The MS-VAR econometric model based on two regimes detects nonlinear and asymmetrical structures in the dataset. Our findings indicate local effects of shocks on financial and macroeconomic indicators during regime transition periods. Furthermore, there are unidirectional causality relationships between real exchange rate, tourism index returns and the value of trading volume, but no relationship is found between tourism index return and other indicators, namely, bank loans granted to the tourism industry and tourist arrivals.

Keywords: Causality, financial development, macroeconomy, MS-VAR, Toda–Yamamoto, tourism index return
JEL classification: G10, G19

Received: August 3, 2023; Revised: October 23, 2023; Accepted: November 28, 2023; Prepublished online: August 12, 2024; Published: August 20, 2024  Show citation

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Helhel, Y., & Akgun, E. (2024). Examining the Relationship Between Tourism Index Return and Financial, Macroeconomic and Tourism Industry Development Indicators: An Application of MS-VAR Models. Politická ekonomie, 72(4), 626-652. doi: 10.18267/j.polek.1424
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. AbdAllah, N. H. S. A. (2019). Exchange rate volatility and tourism stock prices: Evidence from Egypt. Journal of Association of Arab Universities for Tourism and Hospitality, 17(2), 55-68. https://doi.org/10.21608/JAAUTH.2019.91944 Go to original source...
    2. Abdullah, D. A., Hayworth, S. C. (1993). Macroeconometrics of stock price fluctuations. Quarterly Journal of Business and Economics, 32(1), 50-67.
    3. Abugri, B. A. (2008). Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American Markets. International Review of Financial Analysis, 17(2), 396-410. https://doi.org/10.1016/j.irfa.2006.09.002 Go to original source...
    4. Akadiri, S. S., Akadiri, A. C. (2019). Examining the causal relationship between tourism, exchange rate, and economic growth in tourism island states: Evidence from second generation panel. International Journal of Hospitality & Tourism Administration, 22(3), 235-250. https://doi.org/10.1080/15256480.2019.1598912 Go to original source...
    5. Anguera-Torrell, O., Aznar-Alarcón, J. P., Vives-Perez, J. (2021). COVID-19: hotel industry response to the pandemic evolution and to the public sector economic measures. Tourism Recreation Research, 46(2), 148-157. https://doi.org/10.1080/02508281.2020.1826225 Go to original source...
    6. Balsalobre-Lorente, D., Driha, O. M., Bekun, F. V., et al. (2021). The asymmetric impact of air transport on economic growth in Spain: Fresh evidence from the tourism-led growth hypothesis. Current Issues in Tourism, 24(4), 503-519. https://doi.org/10.1080/13683500.2020.1720624 Go to original source...
    7. Barrows, C. W., Naka, A. (1994). Use of macroeconomic variables to evaluate selected hospitality stock returns in the US. International Journal of Hospitality Management, 13(2), 119-128. https://doi.org/10.1016/0278-4319(94)90033-7 Go to original source...
    8. Bencivenga, V. R., Smith, B. D. (1991). Financial intermediation and endogenous growth. Review of Economic Studies, 58(2), 195-209. Go to original source...
    9. Bogdan, S. (2019). Macroeconomic impact on stock returns in the Croatian hospitality industry. Zbornik Veleučiliąta u Rijeci, 7(1), 53-68. https://doi.org/10.31784/zvr.7.1.2 Go to original source...
    10. Buberkoku, O. (2017). Examining stock returns-trading volume relationship: Evidence from Turkish Banks. Mehmet Akif Ersoy University Journal of Social Sciences Institute, 9(19), 457-482. https://doi.org/10.20875/makusobed.324146 Go to original source...
    11. Brooks, C. (2008). Introductory Econometrics for Finance. 2nd edition. Cambridge: Cambridge University Press. ISBN 978-0511841644. Go to original source...
    12. Carrillo‑Hidalgo, I., Pulido‑Fernández, J. I., Durán‑Román, J. L., et al. (2023). COVID‑19 and tourism sector stock price in Spain: medium‑term relationship through dynamic regression models. Financial Innovation, 9(8). https://doi.org/10.1186/s40854-022-00402-0 Go to original source...
    13. Chen, H., Qian, W., Wen, Q. (2021). The impact of the COVID-19 pandemic on consumption: Learning from high-frequency transaction data. AEA Papers and Proceedings, 111, 307-311. https://doi.org/10.2139/ssrn.3568574 Go to original source...
    14. Chen, M.-H. (2007). Macro and non-macro explanatory factors of Chinese hotel stock returns. International Journal of Hospitality Management, 26(4), 991-1004. https://doi.org/10.1016/j.ijhm.2006.04.002 Go to original source...
    15. Chen, M.-H. (2010). The economy, tourism growth and corporate performance in the Taiwanese hotel industry. Tourism Management, 31(5), 665-675. https://doi.org/10.1016/j.tourman.2009.07.011 Go to original source...
    16. Chen, M.-H. (2011). The response of hotel performance to international tourism development and crises events. International Journal of Hospitality Management, 30(1), 200-212. https://doi.org/10.1016/j.ijhm.2010.06.005 Go to original source...
    17. Chen, N. F., Roll, R., Ross, S. (1986). Economic forces and the stock market. The Journal of Business, 59(3), 383-403. Go to original source...
    18. Churchill, S. A., Cai, Y., Erdiaw-Kwasie, M. O., et al. (2023). Financial development and tourism: a century of evidence from Germany. Applied Economics, 55(3), 305-318. https://doi.org/10.1080/00036846.2022.2086964 Go to original source...
    19. Clark, P. K. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 41(1), 135-155. https://doi.org/10.2307/1913889 Go to original source...
    20. Copeland, T. E. (1976). A model of asset trading under the assumption of sequential information arrival. The Journal of Finance, 31(4), 1149-1168. https://doi.org/10.2307/2326280 Go to original source...
    21. Crouch, G. I., Ritchie, J. R. B. (1999). Tourism, competitiveness, and societal prosperity. Journal of Business Research, 44(3), 137-152. https://doi.org/10.1016/S0148-2963(97)00196-3 Go to original source...
    22. De Long, J. B., Shleifer, A., Summers, L. H., et al. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738. https://doi.org/10.1086/261703 Go to original source...
    23. 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/10.1080/10941665.2016.1271814 Go to original source...
    24. Dossou, T. A. M., Kambaye, E. N., Eoulam, A. O. (2021). Exploring the linkage between tourism, governance quality, and poverty reduction in Latin America. Tourism Economics, 29(1), 210-234. https://doi.org/10.1177/13548166211043974 Go to original source...
    25. Dritsakis, N. (2004). Tourism as a long-run economic growth factor: An empirical investigation for Greece using causality analysis. Tourism Economics, 10(3), 305-316. https://doi.org/10.5367/0000000041895094 Go to original source...
    26. Ehrmann, M., Ellison, M., Valla, N. (2003). Regime-dependent impulse response functions in a Markov-switching vector autoregression model. Economics Letters, 78(3), 295-299. https://doi.org/10.1016/S0165-1765(02)00256-2 Go to original source...
    27. Epps, T. M. E. (1976). The stochastic dependence of security price changes and transaction volumes: Implications for the mixture-of-distributions hypothesis. Econometrica, 44(2), 305-321. https://doi.org/10.2307/1912726 Go to original source...
    28. Eyüpoğlu, S., Eyüpoğlu, K. (2018). Borsa İstanbul sektör endekslerinde fiyat ile işlem hacmi ilişkisi. Yönetim ve Ekonomi, 25(3), 981-998. https://doi.org/10.18657/yonveek.421488 Go to original source...
    29. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486 Go to original source...
    30. Farooq, U., Nasir, A., Bilal, et al. (2022). The COVID-19 pandemic and stock market performance of transportation and travel services firms: a cross-country study. Economic Research-Ekonomska Istraľivanja, 35(1), 6867-6883. https://doi.org/10.1080/1331677X.2022.2053784 Go to original source...
    31. Gervais, S., Kaniel, R., Mingelgrin, D. H. (2001). The high-volume return premium. The Journal of Finance, 56(3), 877-919. https://doi.org/10.1111/0022-1082.00349 Go to original source...
    32. Goh, T. S., Henry, H., Toni, N., et al. (2022). Factors affect tourism stock price in Indonesia. International Journal of Communication and Society, 4(1), 163-171. https://doi.org/10.31763/ijcs.v4i1.507 Go to original source...
    33. Gunduz, L., Hatemi, J. A. (2005). Is the tourism-led growth hypothesis valid for Turkey? Applied Economics Letters, 12(8), 499-504. https://doi.org/10.1080/13504850500109865 Go to original source...
    34. Hadi, D. M., Irani, F., Gökmenoğlu, K. K. (2022). External determinants of the stock price performance of tourism, travel and leisure firms: Evidence from the United States. International Journal of Hospitality & Tourism Administration, 23(4), 679-695. https://doi.org/10.1080/15256480.2020.1842838 Go to original source...
    35. Hadi, D. M., Naeem, M. A., Karim, S. (2022). Impact of COVID-19 on the connectedness across global hospitality stocks. International Journal of Hospitality Management, 104, 1-9. https://doi.org/10.1016/j.ijhm.2022.103243 Go to original source...
    36. Ho, S.-Y. (2019). Macroeconomic determinants of stock market development in South Africa. International Journal of Emerging Markets, 14(2), 322-342. https://doi.org/10.1108/IJoEM-09-2017-0341 Go to original source...
    37. Irani, F., Katircioglu, S., Gokmenoglu, K. K. (2021). Effects of business and finance conditions on tourism firms' financial performances: Evidence from major tourist destinations. Sage Open, 11(3). https://doi.org/10.1177/21582440211040120 Go to original source...
    38. Jennings, R. H., Starks, L. T., Fellingham, J. C. (1981). An equilibrium model of asset trading with sequential information arrival. The Journal of Finance, 36(1), 143-161. Go to original source...
    39. Jeon, J. H. (2020). Macro and non-macro determinants of Korean tourism stock performance: a quantile regression approach. The Journal of Asian Finance, Economics and Business, 7(3), 149-156. https://doi.org/10.13106/jafeb.2020.vol7.no3.149 Go to original source...
    40. Karpoff, J. M. (1987). The relation between price changes and trading volume: A survey. The Journal of Financial and Quantitative Analysis, 22(1), 109-126. https://doi.org/10.2307/2330874 Go to original source...
    41. Katircioglu, S., Katircioğlu, S., Altinay, M. (2018). (2018). Interactions between tourism and financial sector development: evidence from Turkey. The Service Industries Journal, 38(9-10), 519-542. https://doi.org/10.1080/02642069.2017.1406479 Go to original source...
    42. Kwon, C. S., Shin, T. S. (1999). Cointegration and causality between macroeconomic variables and stock market returns. Global Finance Journal, 10(1), 71-81. https://doi.org/10.1016/S1044-0283(99)00006-X Go to original source...
    43. Lee, C.-Chu., Lee, C.-Chi., Wu, Y. (2023). The impact of COVID-19 pandemic on hospitality stock returns in China. International Journal of Finance & Economics 28(2), 1787-1800. https://doi.org/10.1002/ijfe.2508 Go to original source...
    44. Lim, C., Chan, F. (2013). An Empirical Modelling of New Zealand Hospitality and Tourism Stock Returns. International Scholarly Research Notices, 2013(1), 289718. https://doi.org/10.1155/2013/289718 Go to original source...
    45. Liu, Y., Cheng, X., Liao, S. S., et al. (2023). The impact of COVID-19 on the tourism and hospitality Industry: Evidence from international stock markets. The North American Journal of Economics and Finance, 64, 1-23. https://doi.org/10.1016/j.najef.2022.101875 Go to original source...
    46. Lütkepohl, H. (2010). New Introduction to Multiple Time Series Analysis. Berlin: Springer Science & Business Media. ISBN 9783540262398.
    47. Moosa, I. A., Silvapulle, P. (2000). The price-volume relationship in the crude oil futures market some results on linear and nonlinear causality testing. International Review of Economics and Finance, 9(1), 11-30. https://doi.org/10.1016/S1059-0560(99)00044-1 Go to original source...
    48. Muhammad, N., Rasheed, A., Husain, F. (2002). Stock prices and exchange rates: Are they related? Evidence from South Asian Countries. The Pakistan Development Review, 41(4), 535-550.
    49. Mukherjee, T. K., Naka, A. (1995). Dynamic relations between macroeconomic variables and the Japanese stock market: An application of a vector error correction model. The Journal of Financial Research, 18(2), 223-237. https://doi.org/10.1111/j.1475-6803.1995.tb00563.x Go to original source...
    50. Naik, P. K., Padhi, P. (2012). The impact of macroeconomic fundamentals on stock prices revisited: An evidence from Indian data. MPRA Paper No. 38980. Go to original source...
    51. Shahrestani, P., Rafei, M. (2020). The impact of oil price shocks on Tehran Stock Exchange returns: Application of the Markov switching vector autoregressive models. Resources Policy, 65(101579), 1-9. https://doi.org/10.1016/j.resourpol.2020.101579 Go to original source...
    52. Solnik, B. (1987). Using Financial Prices to Test Exchange Rate Models: A Note. The Journal of Finance, 42(1), 141-149. https://doi.org/10.2307/2328424 Go to original source...
    53. Yeh, S.-S. (2020). Tourism recovery strategy against COVID-19 pandemic. Tourism Recreation Research, 46(2), 188-194. https://doi.org/10.1080/02508281.2020.1805933 Go to original source...
    54. Zhang, X. (2018). The impact of financial, macroeconomic and non-economic factors on the hospitality industry in Spain and the UK. Master's Thesis. Palma de Mallorca: Universitat de les Illes Balears. Available at: https://hdl.handle.net/11201/148777
    55. Zheng, C. (2022). An innovative MS-VAR model with integrated financial knowledge for measuring the impact of stock market bubbles on financial security. Journal of Innovation & Knowledge, 7(3), 100207. https://doi.org/10.1016/j.jik.2022.100207 Go to original source...

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content