UNIT ROOT TESTS OF AIRLINE’S STOCK RETURNS CONSIDERING ALLIANCES

Abstract

The purpose of this study is to make a unit root analysis of the stock return time series of 18 air carrier companies due to alliance membership in this paper because of the importance of the unit roots in the detection of time-related matters. Five important unit root tests, which can be classified as Fourier or classical utilized. According to the findings, there is no unit root in the stock return series regardless of airline alliances but there are differences on a regional basis depending on the test and test power, specific Asian airlines stocks’ return series show linearity. These results will shed more light on the efficient market hypothesis on aviation management in the next research.