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

• 발행기관: 한국유통과학회
• 저자명: Ji-Hong JEON
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.3, 149~156쪽, 전체 8쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.03.30

영문 초록

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.

목차

1. Introduction

2. Literature Review

3. Research Data and Empirical Model

4. Results

5. Conclusions

References

키워드

Tourism Stock Performance Macro and non-macro Quantile Regression Korea