Research Article
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Year 2021, Volume 7, Issue 2, 70 - 76, 31.07.2021
https://doi.org/10.24288/jttr.951608

Abstract

References

  • Akdağ, S., Yıldırım, H. & Kesebir, M. (2018). Jeopolitik risk ile borsa endeksleri arasındaki ilişki: Panel eşbütünleşme ve panel nedensellik analizi. Siyasi, Sosyal ve Kültürel Yönleriyle Türkiye ve Rusya, ed. İnanır,E., Köse, O. & Ulutürk, Y. Ankara: Berikan Yayınevi, 59-74.
  • Akdağ, S., Kılıç, İ. and Yıldırım, H. (2019). Does VIX scare stocks of tourism companies? Letters in Spatial and Resource Sciences, (2019), 12, p. 215–232.
  • Apergis, N., Bonato, M., Gupta, R., & Kyei, C. (2018). Does geopolitical risks predict stock returns and volatility of leading defense companies? Evidence from a nonparametric approach. Defence and Peace Economics, 29(6), 684-696.
  • Asteriou, D. & Hall, S. G. (2011). Applied econometrics, Second edition. UK: Macmillan International Higher Education.
  • Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
  • Balcilar, M., Bonato, M., Demirer, R., & Gupta, R. (2018). Geopolitical risks and stock market dynamics of the BRICS. Economic Systems, 42(2), 295-306.
  • Bayar, Y., & Aytemiz, L. (2015). Economic Policy Uncertainty and Stock Market Returns in Selected Eurozone Countries. Journal of Applied Economic Sciences, 31, 152-158.
  • Bouras, C., Christou, C., Gupta, R., & Suleman, T. (2019). Geopolitical risks, returns, and volatility in emerging stock markets: Evidence from a panel GARCH model. Emerging Markets Finance and Trade, 55(8), 1841-1856.
  • Bouri, E., Demirer, R., Gupta, R., & Marfatia, H. A. (2019). Geopolitical risks and movements in islamic bond and equity markets: A note. Defence and Peace Economics, 30(3), 367-379.
  • Breitung, J. & Pesaran, M. H. (2008). Unit roots and cointegration in panels. In The Econometrics Of Panel Data. Berlin Heidelberg: Springer.
  • Caldara, D., & Iacoviello, M. (2018). Measuring geopolitical risk. FRB International Finance Discussion Paper, (1222).
  • Chiang, T. C. (2019). Empirical Analysis of Economic Policy Uncertainty and Stock Returns in Asian Markets.(pp.63-87), (ed. Lee and Yu) In: Advances in Pacific Basin Business, Economics and Finance, UK: Emerald Publishing Ltd.
  • Chen, J., Jiang, F., & Tong, G. (2017). Economic policy uncertainty in China and stock market expected returns. Accounting & Finance, 57(5), 1265-1286.
  • Chen, J., Jiang, F., Liu, Y., & Tu, J. (2017). International volatility risk and Chinese stock return predictability. Journal of International Money and Finance, 70, 183-203.
  • Demiralay, S., & Kilincarslan, E. (2019). The impact of geopolitical risks on travel and leisure stocks. Tourism Management, 75, 460-476.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
  • Dikmen, N. (2012). Ekonometri: Temel Kavramlar ve Uygulamalar. Bursa: Dora Basım Yayım Dağ. Ltd. Şti.
  • Donadelli, M. (2015). Asian stock markets, US economic policy uncertainty and US macro-shocks. New Zealand Economic Papers, 49(2), 103-133.
  • Erdoğdu, H. & Baykut, E. (2016). BIST banka endeksinin (XBANK) VIX ve MOVE endeksleri ile ilişkisinin analizi. Bankacılar Dergisi, 98, 57-72.
  • Fabozzi, F. J., Focardi, S. M., Rachev, S. T. & Arshanapalli, B. G. (2014). The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications. John Wiley & Sons, Inc.
  • Fleming, J., Ostdiek, B., & Whaley, R. E. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets, 15(3), 265–302.
  • Giot, P. (2005). Relationships between implied volatility indexes and stock index returns. The Journal of Portfolio Management, 31(3), 92-100.
  • Greene, W. (2012). Econometric Analysis (7.Baskı). UK: Pearson Education Limited.
  • Gujarati, D. N. & Porter, D. C. (Çev. Şenesen, Ü. ve Günlük-Şenesen, G.) (2012). Temel Ekonometri. İstanbul: Literatür Yayıncılık.
  • Hu, Z., Kutan, A. M., & Sun, P. W. (2018). Is US economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks. International Review of Financial Analysis, 57, 207-220.
  • İltas, Y., Arslan, H., & Kayhan, T. (2017). The stock return predictability: Comparing P/E and EV/Ebitda. Journal of Economics, Finance and Accounting, 4(3), 262-274.
  • İskenderoğlu, Ö. & Akdağ, S. (2018, Nisan). VIX korku endeksi ile çeşitli ülkelerin hisse senedi endeks getirileri arasında bir nedensellik analizi. S.Bayram (ed.) 2. Uluslararası Ekonomi Araştırmaları ve Finansal Piyasalar Kongresi (pp. 556-572). Nevşehir Hacı Bektaş Veli Üniversitesi.
  • Jeon, J. H. (2019). Uncertainty and manufacturing stock market in Korea. Journal of Industrial Distribution & Business, 10(1), 29-37.
  • Johansen, S. (1988). Statistical analysis of cointegration vector. Journal of Economic Dynamics and Control, 12, 231-254.
  • Johansen, S. & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  • Kang, W., & Ratti, R. A. (2013). Oil shocks, policy uncertainty and stock market return. Journal of International Financial Markets, Institutions and Money, 26, 305-318.
  • Kaya, A. & Çoşkun, A. (2015). VIX endeksi menkul kıymet piyasalarının bir nedeni midir? Borsa İstanbul örneği. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 16(1), 175-186.
  • Kaya, A., Güngör, B. & Özçomak, M.S. (2014). Is VIX indeks a fear indeks for investors? OECD countries stock exchange example with ARDL approach. Roceedings of the First Middle East Conference on Global Business, Economics, Finance and Banking (ME14 DUBAI Conference) Dubai.
  • Korkmaz, Ö., & Güngör, S. (2018). Küresel ekonomi politika belirsizliğinin borsa istanbul’da işlem gören seçilmiş endeks getirileri üzerindeki etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(ICEESS’18), 211-219.
  • Korkmaz, T. & Çevik, E. İ. (2009). Zımni volatilite endeksinden gelişmekte olan piyasalara yönelik volatilite yayılma etkisi. Journal of BRSA Banking & Financial Markets, 3(2), 87-105.
  • Li, X. M., Zhang, B., & Gao, R. (2015). Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market. Economics Letters, 132, 91-96.
  • Narayan, P. K. & Wong, P. (2009), A panel data analysis of the determinants of oil consumption: The case of Australia. Applied Energy, 86(12), 2771- 2775.
  • Pan, W. F. (2018). Stock markets, booms, and geopolitical risk: Evidence from emerging markets. SSRN Electronic Journal, https://ssrn.com/abstract=3222468 or http://dx.doi.org/10.2139/ssrn.3222468
  • Pedroni, P. (2001), Fully modified OLS for heterogeneous cointegrated panels. In nonstationary panels, panel cointegration, and dynamic panels. Bingley: Emerald Group Publishing Ltd.
  • Phillips, P.C.B., & Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I (1) processes. The Review of Economic Studies, 57(1), 99-125.
  • Phillips, P.C.B. ve Perron, P. (1988). Testing for a unit root in time series regression. Biometrika. 75, 335-346.
  • Rawat, A. S., & Arif, I. (2018). Does geopolitical risk drive equity price returns of BRIC economies? Evidence from quantile on quantile estimations. Journal of Finance and Economics Research, 3(2), 24-36.
  • Saikkonen, P. (1991), Asymptotically efficient estimation of cointegration regressions, Econometric Theory, 7(1), 1-21.
  • Sarwar, G. (2012). Is VIX an investor fear gauge in BRIC equity markets?. Journal of Multinational Financial Management, 22(3), 55-65.
  • Sarwar, G. & Khan, W. (2017). The effect of us stock market uncertainty on emerging market returns. Emerging Markets Finance and Trade, 53(8), 1796-1811.
  • Stock, J. H. & Watson, M. W. (1993), A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, 61(4), 783-820.
  • Tarı, R. & Yıldırım, D. Ç. (2009). Döviz kuru belirsizliğinin ihracata etkisi: Türkiye için bir uygulama. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(2), 95-105.
  • Tiryaki, H. N., & Tiryaki, A. (2019). Determinants of Turkish stock returns under the impact of economic policy uncertainty. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (22), 147-162.
  • Whaley, R. E. (2000). The investor fear gauge. The Journal of Portfolio Management, 26(3), 12-17.
  • Wu, T. P., Liu, S. B., & Hsueh, S. J. (2016). The causal relationship between economic policy uncertainty and stock market: a panel data analysis. International Economic Journal, 30(1), 109-122.
  • Yule, G.U. (1926). Why do we sometimes get nonsense-correlations between time-series? – A study in sampling and the nature of time-series. Journal of the Royal Statistical Society, 89(1), 1-63.

The impact of global uncertainty and risks on the global tourism index

Year 2021, Volume 7, Issue 2, 70 - 76, 31.07.2021
https://doi.org/10.24288/jttr.951608

Abstract

Uncertainties and risks are two leading factors affecting investors’ decisions. In the presence of uncertainty, investors may postpone consumption and investment decisions due to a wait-and-see policy, whereas consumption and investment decisions may be abandoned in risky situations. Due to its high demand elasticity, in particular, renders tourism as one of the sectors most affected by the increase in uncertainty and risks. In this context, it is aimed to determine whether or not any relationship between global Economic Policy Uncertainty index (EPU), global Geopolitical Risk Index (GPR) and global Volatility Index (VIX) and global tourism index STOXX Global 1800 T&L exists. The probable relationship between the variables is tested using monthly data over the period from August 2006 to December 2018 via Johansen cointegration test and DOLS and FMOLS cointegration coefficient estimators. As a result of the study, it is found that there is a long-term relationship between the related indices and the global tourism index and that the VIX and the EPU indexes have an adverse impact on the tourism index.

References

  • Akdağ, S., Yıldırım, H. & Kesebir, M. (2018). Jeopolitik risk ile borsa endeksleri arasındaki ilişki: Panel eşbütünleşme ve panel nedensellik analizi. Siyasi, Sosyal ve Kültürel Yönleriyle Türkiye ve Rusya, ed. İnanır,E., Köse, O. & Ulutürk, Y. Ankara: Berikan Yayınevi, 59-74.
  • Akdağ, S., Kılıç, İ. and Yıldırım, H. (2019). Does VIX scare stocks of tourism companies? Letters in Spatial and Resource Sciences, (2019), 12, p. 215–232.
  • Apergis, N., Bonato, M., Gupta, R., & Kyei, C. (2018). Does geopolitical risks predict stock returns and volatility of leading defense companies? Evidence from a nonparametric approach. Defence and Peace Economics, 29(6), 684-696.
  • Asteriou, D. & Hall, S. G. (2011). Applied econometrics, Second edition. UK: Macmillan International Higher Education.
  • Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
  • Balcilar, M., Bonato, M., Demirer, R., & Gupta, R. (2018). Geopolitical risks and stock market dynamics of the BRICS. Economic Systems, 42(2), 295-306.
  • Bayar, Y., & Aytemiz, L. (2015). Economic Policy Uncertainty and Stock Market Returns in Selected Eurozone Countries. Journal of Applied Economic Sciences, 31, 152-158.
  • Bouras, C., Christou, C., Gupta, R., & Suleman, T. (2019). Geopolitical risks, returns, and volatility in emerging stock markets: Evidence from a panel GARCH model. Emerging Markets Finance and Trade, 55(8), 1841-1856.
  • Bouri, E., Demirer, R., Gupta, R., & Marfatia, H. A. (2019). Geopolitical risks and movements in islamic bond and equity markets: A note. Defence and Peace Economics, 30(3), 367-379.
  • Breitung, J. & Pesaran, M. H. (2008). Unit roots and cointegration in panels. In The Econometrics Of Panel Data. Berlin Heidelberg: Springer.
  • Caldara, D., & Iacoviello, M. (2018). Measuring geopolitical risk. FRB International Finance Discussion Paper, (1222).
  • Chiang, T. C. (2019). Empirical Analysis of Economic Policy Uncertainty and Stock Returns in Asian Markets.(pp.63-87), (ed. Lee and Yu) In: Advances in Pacific Basin Business, Economics and Finance, UK: Emerald Publishing Ltd.
  • Chen, J., Jiang, F., & Tong, G. (2017). Economic policy uncertainty in China and stock market expected returns. Accounting & Finance, 57(5), 1265-1286.
  • Chen, J., Jiang, F., Liu, Y., & Tu, J. (2017). International volatility risk and Chinese stock return predictability. Journal of International Money and Finance, 70, 183-203.
  • Demiralay, S., & Kilincarslan, E. (2019). The impact of geopolitical risks on travel and leisure stocks. Tourism Management, 75, 460-476.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
  • Dikmen, N. (2012). Ekonometri: Temel Kavramlar ve Uygulamalar. Bursa: Dora Basım Yayım Dağ. Ltd. Şti.
  • Donadelli, M. (2015). Asian stock markets, US economic policy uncertainty and US macro-shocks. New Zealand Economic Papers, 49(2), 103-133.
  • Erdoğdu, H. & Baykut, E. (2016). BIST banka endeksinin (XBANK) VIX ve MOVE endeksleri ile ilişkisinin analizi. Bankacılar Dergisi, 98, 57-72.
  • Fabozzi, F. J., Focardi, S. M., Rachev, S. T. & Arshanapalli, B. G. (2014). The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications. John Wiley & Sons, Inc.
  • Fleming, J., Ostdiek, B., & Whaley, R. E. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets, 15(3), 265–302.
  • Giot, P. (2005). Relationships between implied volatility indexes and stock index returns. The Journal of Portfolio Management, 31(3), 92-100.
  • Greene, W. (2012). Econometric Analysis (7.Baskı). UK: Pearson Education Limited.
  • Gujarati, D. N. & Porter, D. C. (Çev. Şenesen, Ü. ve Günlük-Şenesen, G.) (2012). Temel Ekonometri. İstanbul: Literatür Yayıncılık.
  • Hu, Z., Kutan, A. M., & Sun, P. W. (2018). Is US economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks. International Review of Financial Analysis, 57, 207-220.
  • İltas, Y., Arslan, H., & Kayhan, T. (2017). The stock return predictability: Comparing P/E and EV/Ebitda. Journal of Economics, Finance and Accounting, 4(3), 262-274.
  • İskenderoğlu, Ö. & Akdağ, S. (2018, Nisan). VIX korku endeksi ile çeşitli ülkelerin hisse senedi endeks getirileri arasında bir nedensellik analizi. S.Bayram (ed.) 2. Uluslararası Ekonomi Araştırmaları ve Finansal Piyasalar Kongresi (pp. 556-572). Nevşehir Hacı Bektaş Veli Üniversitesi.
  • Jeon, J. H. (2019). Uncertainty and manufacturing stock market in Korea. Journal of Industrial Distribution & Business, 10(1), 29-37.
  • Johansen, S. (1988). Statistical analysis of cointegration vector. Journal of Economic Dynamics and Control, 12, 231-254.
  • Johansen, S. & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  • Kang, W., & Ratti, R. A. (2013). Oil shocks, policy uncertainty and stock market return. Journal of International Financial Markets, Institutions and Money, 26, 305-318.
  • Kaya, A. & Çoşkun, A. (2015). VIX endeksi menkul kıymet piyasalarının bir nedeni midir? Borsa İstanbul örneği. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 16(1), 175-186.
  • Kaya, A., Güngör, B. & Özçomak, M.S. (2014). Is VIX indeks a fear indeks for investors? OECD countries stock exchange example with ARDL approach. Roceedings of the First Middle East Conference on Global Business, Economics, Finance and Banking (ME14 DUBAI Conference) Dubai.
  • Korkmaz, Ö., & Güngör, S. (2018). Küresel ekonomi politika belirsizliğinin borsa istanbul’da işlem gören seçilmiş endeks getirileri üzerindeki etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(ICEESS’18), 211-219.
  • Korkmaz, T. & Çevik, E. İ. (2009). Zımni volatilite endeksinden gelişmekte olan piyasalara yönelik volatilite yayılma etkisi. Journal of BRSA Banking & Financial Markets, 3(2), 87-105.
  • Li, X. M., Zhang, B., & Gao, R. (2015). Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market. Economics Letters, 132, 91-96.
  • Narayan, P. K. & Wong, P. (2009), A panel data analysis of the determinants of oil consumption: The case of Australia. Applied Energy, 86(12), 2771- 2775.
  • Pan, W. F. (2018). Stock markets, booms, and geopolitical risk: Evidence from emerging markets. SSRN Electronic Journal, https://ssrn.com/abstract=3222468 or http://dx.doi.org/10.2139/ssrn.3222468
  • Pedroni, P. (2001), Fully modified OLS for heterogeneous cointegrated panels. In nonstationary panels, panel cointegration, and dynamic panels. Bingley: Emerald Group Publishing Ltd.
  • Phillips, P.C.B., & Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I (1) processes. The Review of Economic Studies, 57(1), 99-125.
  • Phillips, P.C.B. ve Perron, P. (1988). Testing for a unit root in time series regression. Biometrika. 75, 335-346.
  • Rawat, A. S., & Arif, I. (2018). Does geopolitical risk drive equity price returns of BRIC economies? Evidence from quantile on quantile estimations. Journal of Finance and Economics Research, 3(2), 24-36.
  • Saikkonen, P. (1991), Asymptotically efficient estimation of cointegration regressions, Econometric Theory, 7(1), 1-21.
  • Sarwar, G. (2012). Is VIX an investor fear gauge in BRIC equity markets?. Journal of Multinational Financial Management, 22(3), 55-65.
  • Sarwar, G. & Khan, W. (2017). The effect of us stock market uncertainty on emerging market returns. Emerging Markets Finance and Trade, 53(8), 1796-1811.
  • Stock, J. H. & Watson, M. W. (1993), A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, 61(4), 783-820.
  • Tarı, R. & Yıldırım, D. Ç. (2009). Döviz kuru belirsizliğinin ihracata etkisi: Türkiye için bir uygulama. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(2), 95-105.
  • Tiryaki, H. N., & Tiryaki, A. (2019). Determinants of Turkish stock returns under the impact of economic policy uncertainty. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (22), 147-162.
  • Whaley, R. E. (2000). The investor fear gauge. The Journal of Portfolio Management, 26(3), 12-17.
  • Wu, T. P., Liu, S. B., & Hsueh, S. J. (2016). The causal relationship between economic policy uncertainty and stock market: a panel data analysis. International Economic Journal, 30(1), 109-122.
  • Yule, G.U. (1926). Why do we sometimes get nonsense-correlations between time-series? – A study in sampling and the nature of time-series. Journal of the Royal Statistical Society, 89(1), 1-63.

Details

Primary Language English
Subjects Hospitality Leisure Sport and Tourism
Journal Section Research Articles
Authors

Saffet AKDAĞ (Primary Author)
Tarsus Üniversitesi, Uygulamalı Bilimler Fakültesi, Bankacılık ve Finans
0000-0001-9576-6786
Türkiye


Ömer İSKENDEROĞLU
NİĞDE ÖMER HALİSDEMİR ÜNİVERSİTESİ
0000-0002-3407-1259
Türkiye

Publication Date July 31, 2021
Published in Issue Year 2021, Volume 7, Issue 2

Cite

APA Akdağ, S. & İskenderoğlu, Ö. (2021). The impact of global uncertainty and risks on the global tourism index . Journal of Tourism Theory and Research , 7 (2) , 70-76 . DOI: 10.24288/jttr.951608