经济政策不确定性与旅游公司股票回报率的关系——来自土耳其的证据

IF 1 Q3 HOSPITALITY, LEISURE, SPORT & TOURISM Tourism Review International Pub Date : 2020-02-19 DOI:10.3727/154427219x15724717569849
A. Aslan, Buket Altinoz
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引用次数: 1

摘要

本文旨在通过对1997年至2017年数据的自回归分布滞后(ARDL)边界检验,分析土耳其旅游公司的经济政策不确定性(EPU)与股票回报之间的关系。分析结果表明,从短期和长期来看,全球和欧洲经济政策不确定性指数的增加对土耳其伊斯坦布尔旅游指数产生了负面影响。此外,从长远来看,全球经济政策的不确定性对旅游公司股票回报的影响大于欧洲经济政策的影响。因果关系检验结果支持了这一说法,并说明了从全球经济政策的不确定性到BIST旅游指数(XTRZM)的单向因果关系。这些发现证明,土耳其不仅是欧洲的旅游中心,也是全球的旅游中心。分析结果表明,特别是全球经济政策的不确定性是解释旅游股票收益率的一个因素。本文提出,使用EPU指数,特别是全球EPU指数作为旅游股票回报的决定因素是有用的。这一结果使现有的理论基础设施比传统的旅游需求模型更进一步。
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The Nexus Between Economic Policy Uncertainty and Stock Returns of Tourism Companies: Evidence from Turkey
This article aims to analyze the nexus between economic policy uncertainty (EPU) and stock returns of tourism companies for Turkey by using the Autoregressive Distributed Lag (ARDL) boundary test for data from 1997 to 2017. The analysis results illustrate that an increase in the global and European economic policy uncertainty index affects negatively to Borsa Istanbul (BIST) tourism index in Turkey in both the short and long run. In addition, global economic policy uncertainty has a greater impact on stock returns of tourism companies in the long run than European economic policy uncertainty. The causality test results support this statement and illustrate a unidirectional causality from global economic policy uncertainty to BIST Tourism Index (XTRZM). These findings proved that Turkey is not only for Europe but also a tourism center, globally. Analysis results implied that especially global economic policy uncertainty is a factor that should be taken into account to explain tourism stock returns. This article proposes that it will be useful to use the EPU index, especially global EPU, as a determinant of tourism stock returns. This result takes the existing theoretical infrastructure one step further than traditional tourism demand models.
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来源期刊
Tourism Review International
Tourism Review International HOSPITALITY, LEISURE, SPORT & TOURISM-
CiteScore
3.90
自引率
11.80%
发文量
19
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