Araştırma Makalesi
BibTex RIS Kaynak Göster

Unit Root Tests of Airline’s Stock Returns Considering Alliances

Yıl 2023, , 457 - 465, 15.11.2023
https://doi.org/10.30518/jav.1345665

Öz

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.

Kaynakça

  • Aggarwal, R., & Kyaw, N. A. (2005). Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests. International Review of Financial Analysis, 14(4), 393-406.
  • Alıcı, A. & Sevil, G. (2021). Analysis of Operational Ratios Affecting Stock Price in Low Cost Airline Businesses Erciyes University Journal of Faculty of Economics and Administrative Sciences, (60), 1-23.
  • Alıcı, A. & Sevil, G. (2022). Analysis of sector-specific operational performance metrics affecting stock prices of traditional airlines. Independent Journal of Management & Production (Ijm&P).
  • Brueckner, J. K., & Singer, E. (2019). Pricing by international airline alliances: A retrospective study. Economics of Transportation, 20, 100139.
  • Brueckner, J. K., & Whalen, W. T. (2000). The price effects of international airline alliances. The Journal of Law and Economics, 43(2), 503-546.
  • Button, K., Porta, F., & Scotti, D. (2020). The role of strategic airline alliances in Africa.
  • Calzada, J., Fageda, X., & Safronov, R. (2022). How do global airline alliances affect flight frequency? Evidence from Russia. Journal of Air Transport Management, 98, 102156.
  • Christopoulos, D. K., & León-Ledesma, M. A. (2010). Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates. Journal of International Money and Finance, 29(6), 1076-1093.
  • Çil Yavuz, N. (2015). Financial Econometrics. Baskı, Der Yayınları, İstanbul.
  • Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford bulletin of Economics and Statistics, 74(4), 574-599.
  • Enders, W., & Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root tests. Economics Letters, 117(1), 196-199.
  • Gozbasi, O., Kucukkaplan, I., & Nazlioglu, S. (2014). Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests. Economic Modelling, 38, 381-384.
  • Güriş, B. (2019). A new nonlinear unit root test with Fourier function. Communications in Statistics-Simulation and Computation, 48(10), 3056-3062.
  • Hasanov, M. (2009). Is south korea's stock market efficient? evidence from a nonlinear unit root test. Applied economics letters, 16(2), 163-167.
  • Hepsağ, A. (2022). Contemporary methods in econometrical time series analysis (winrats uygulamalı). İstanbul: Der Yayınları.
  • Ivaldi, M., Petrova, M., & Urdanoz, M. (2022). Airline cooperation effects on airfare distribution: An auction-model- based approach. Transport Policy, 115, 239-250.
  • Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of econometrics, 112(2), 359-379.
  • Kizilkaya, O., & Konat, G. (2019). Are Fluctuations in Electricity Consumption Permanent or Transitory? An Empirical Analysis for Turkey. Econometrics and Statistics, (31), 53-62.
  • Klophaus, R., & Lordan, O. (2018). Codesharing network vulnerability of global airline alliances. Transportation Research Part A: Policy and Practice, 111, 1-10.
  • Koçak, B. B. (2021). Fly" With us"! Impact of Consumer-Brand Relationship on Consumer Engagement: An Empirical Investigation on Turkish Airline Instagram Pages. Journal of Consumer and Consumption Research, 13(2), 253-282.
  • Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54(1-3), 159-178.
  • Loudon, G.F. (2004). Financial risk exposures in the airline industry: Evidence from Australia and New Zealand. Australian Journal of Management, Volume 29 (2), 295-316.
  • Maitra, D., Rehman, M. U., Dash, S. R., & Kang, S. H. (2021). Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications. Energy Economics, 102, 105499.
  • Morrish, S. C., & Hamilton, R. T. (2002). Airline alliances—who benefits? Journal of Air Transport Management, 8(6), 401-407.
  • Mushtaq, Rizwan, Augmented Dickey-Fuller Test (August 17, 2011). Available at SSRN: https://ssrn.com/abstract=1911068
  • Narayan, P. K. (2008). Do shocks to G7 stock prices have a permanent effect? evidence from panel unit root tests with structural change. Mathematics and Computers in Simulation, 77(4), 369-373.
  • Narayan, P. K., & Smyth, R. (2007). Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests. Journal of International Financial Markets, Institutions and Money, 17(2), 152-166.
  • Orhan, G., & Tasci, D. (2019). The role of integration in achieving sustainable benefits from airline alliances. International Journal of Sustainable Aviation, 5(1), 70-86.
  • Pineda, P. J. G., Liou, J. J., Hsu, C. C., & Chuang, Y. C. (2018). An integrated MCDM model for improving airline operational and financial performance. Journal of Air Transport Management, 68, 103-117.
  • Sobieralski, J. B. (2021). The impact of central bank policy on transport asset prices: Evidence from the US airline industry. Research in Transportation Business & Management, 100649.
  • Swidan, H., & Merkert, R. (2019). The relative effect of operational hedging on airline operating costs. Transport Policy, 80, 70-77.
  • Tiwari, A. K., & Kyophilavong, P. (2014). New evidence from the random walk hypothesis for BRICS stock indices: a wavelet unit root test approach. Economic Modelling, 43, 38-41.
  • Tsai, B.MC. (2008). Financial risk exposures in the airline industry – Case of South African Airlines. Master Thesis, University of Cape Town, Department of Accounting, South Africa.
  • Wang, C. H., Zhang, W., Dai, Y., & Lee, Y. C. (2022). Frequency competition among airlines on coordinated airports network. European Journal of Operational Research, 297(2), 484-495.
  • Wang, D., & Tomek, W. G. (2007). Commodity prices and unit root tests. American Journal of Agricultural Economics, 89(4), 873-889.
  • Wang, J., Zhang, D., & Zhang, J. (2015). Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions. International Review of Economics & Finance, 37, 157-164.
  • Wolter, A. H., Ehlers, T., Luetjens, K., & Gollnick, V. (2021). Commodity price pass-through in the US airline industry and the hidden perks of consolidation. Journal of Air Transport Management, 95, 102100.
  • Yashodha, Y., Abdulhamid and B. Habibullah, M.S. (2016). Financial Risk Exposures of the Airline İndustry: Evidence from Cathay Pacific Airways and China Airlines. International Journal of Business and Society, Volume 17 (2), 221-244
  • Yaya, O. S., Ogbonna, A. E., & Mudida, R. (2019). Hysteresis of unemployment rates in Africa: new findings from Fourier ADF test. Quality & Quantity, 53(6), 2781-2795.
  • Yimga, J. (2022). Code-sharing agreements and path quality in the US airline industry. Transport Policy.
  • Yun, X., & Yoon, S. M. (2019). Impact of oil price change on airline's stock price and volatility: Evidence from China and South Korea. Energy Economics, 78, 668-679.
Yıl 2023, , 457 - 465, 15.11.2023
https://doi.org/10.30518/jav.1345665

Öz

Kaynakça

  • Aggarwal, R., & Kyaw, N. A. (2005). Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests. International Review of Financial Analysis, 14(4), 393-406.
  • Alıcı, A. & Sevil, G. (2021). Analysis of Operational Ratios Affecting Stock Price in Low Cost Airline Businesses Erciyes University Journal of Faculty of Economics and Administrative Sciences, (60), 1-23.
  • Alıcı, A. & Sevil, G. (2022). Analysis of sector-specific operational performance metrics affecting stock prices of traditional airlines. Independent Journal of Management & Production (Ijm&P).
  • Brueckner, J. K., & Singer, E. (2019). Pricing by international airline alliances: A retrospective study. Economics of Transportation, 20, 100139.
  • Brueckner, J. K., & Whalen, W. T. (2000). The price effects of international airline alliances. The Journal of Law and Economics, 43(2), 503-546.
  • Button, K., Porta, F., & Scotti, D. (2020). The role of strategic airline alliances in Africa.
  • Calzada, J., Fageda, X., & Safronov, R. (2022). How do global airline alliances affect flight frequency? Evidence from Russia. Journal of Air Transport Management, 98, 102156.
  • Christopoulos, D. K., & León-Ledesma, M. A. (2010). Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates. Journal of International Money and Finance, 29(6), 1076-1093.
  • Çil Yavuz, N. (2015). Financial Econometrics. Baskı, Der Yayınları, İstanbul.
  • Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford bulletin of Economics and Statistics, 74(4), 574-599.
  • Enders, W., & Lee, J. (2012). The flexible Fourier form and Dickey-Fuller type unit root tests. Economics Letters, 117(1), 196-199.
  • Gozbasi, O., Kucukkaplan, I., & Nazlioglu, S. (2014). Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests. Economic Modelling, 38, 381-384.
  • Güriş, B. (2019). A new nonlinear unit root test with Fourier function. Communications in Statistics-Simulation and Computation, 48(10), 3056-3062.
  • Hasanov, M. (2009). Is south korea's stock market efficient? evidence from a nonlinear unit root test. Applied economics letters, 16(2), 163-167.
  • Hepsağ, A. (2022). Contemporary methods in econometrical time series analysis (winrats uygulamalı). İstanbul: Der Yayınları.
  • Ivaldi, M., Petrova, M., & Urdanoz, M. (2022). Airline cooperation effects on airfare distribution: An auction-model- based approach. Transport Policy, 115, 239-250.
  • Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of econometrics, 112(2), 359-379.
  • Kizilkaya, O., & Konat, G. (2019). Are Fluctuations in Electricity Consumption Permanent or Transitory? An Empirical Analysis for Turkey. Econometrics and Statistics, (31), 53-62.
  • Klophaus, R., & Lordan, O. (2018). Codesharing network vulnerability of global airline alliances. Transportation Research Part A: Policy and Practice, 111, 1-10.
  • Koçak, B. B. (2021). Fly" With us"! Impact of Consumer-Brand Relationship on Consumer Engagement: An Empirical Investigation on Turkish Airline Instagram Pages. Journal of Consumer and Consumption Research, 13(2), 253-282.
  • Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54(1-3), 159-178.
  • Loudon, G.F. (2004). Financial risk exposures in the airline industry: Evidence from Australia and New Zealand. Australian Journal of Management, Volume 29 (2), 295-316.
  • Maitra, D., Rehman, M. U., Dash, S. R., & Kang, S. H. (2021). Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications. Energy Economics, 102, 105499.
  • Morrish, S. C., & Hamilton, R. T. (2002). Airline alliances—who benefits? Journal of Air Transport Management, 8(6), 401-407.
  • Mushtaq, Rizwan, Augmented Dickey-Fuller Test (August 17, 2011). Available at SSRN: https://ssrn.com/abstract=1911068
  • Narayan, P. K. (2008). Do shocks to G7 stock prices have a permanent effect? evidence from panel unit root tests with structural change. Mathematics and Computers in Simulation, 77(4), 369-373.
  • Narayan, P. K., & Smyth, R. (2007). Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests. Journal of International Financial Markets, Institutions and Money, 17(2), 152-166.
  • Orhan, G., & Tasci, D. (2019). The role of integration in achieving sustainable benefits from airline alliances. International Journal of Sustainable Aviation, 5(1), 70-86.
  • Pineda, P. J. G., Liou, J. J., Hsu, C. C., & Chuang, Y. C. (2018). An integrated MCDM model for improving airline operational and financial performance. Journal of Air Transport Management, 68, 103-117.
  • Sobieralski, J. B. (2021). The impact of central bank policy on transport asset prices: Evidence from the US airline industry. Research in Transportation Business & Management, 100649.
  • Swidan, H., & Merkert, R. (2019). The relative effect of operational hedging on airline operating costs. Transport Policy, 80, 70-77.
  • Tiwari, A. K., & Kyophilavong, P. (2014). New evidence from the random walk hypothesis for BRICS stock indices: a wavelet unit root test approach. Economic Modelling, 43, 38-41.
  • Tsai, B.MC. (2008). Financial risk exposures in the airline industry – Case of South African Airlines. Master Thesis, University of Cape Town, Department of Accounting, South Africa.
  • Wang, C. H., Zhang, W., Dai, Y., & Lee, Y. C. (2022). Frequency competition among airlines on coordinated airports network. European Journal of Operational Research, 297(2), 484-495.
  • Wang, D., & Tomek, W. G. (2007). Commodity prices and unit root tests. American Journal of Agricultural Economics, 89(4), 873-889.
  • Wang, J., Zhang, D., & Zhang, J. (2015). Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions. International Review of Economics & Finance, 37, 157-164.
  • Wolter, A. H., Ehlers, T., Luetjens, K., & Gollnick, V. (2021). Commodity price pass-through in the US airline industry and the hidden perks of consolidation. Journal of Air Transport Management, 95, 102100.
  • Yashodha, Y., Abdulhamid and B. Habibullah, M.S. (2016). Financial Risk Exposures of the Airline İndustry: Evidence from Cathay Pacific Airways and China Airlines. International Journal of Business and Society, Volume 17 (2), 221-244
  • Yaya, O. S., Ogbonna, A. E., & Mudida, R. (2019). Hysteresis of unemployment rates in Africa: new findings from Fourier ADF test. Quality & Quantity, 53(6), 2781-2795.
  • Yimga, J. (2022). Code-sharing agreements and path quality in the US airline industry. Transport Policy.
  • Yun, X., & Yoon, S. M. (2019). Impact of oil price change on airline's stock price and volatility: Evidence from China and South Korea. Energy Economics, 78, 668-679.
Toplam 41 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Zaman Serileri Analizi, Ulaşım Ekonomisi
Bölüm Araştırma Makaleleri
Yazarlar

Olcay Ölçen 0000-0002-4835-1171

Yayımlanma Tarihi 15 Kasım 2023
Gönderilme Tarihi 18 Ağustos 2023
Kabul Tarihi 10 Ekim 2023
Yayımlandığı Sayı Yıl 2023

Kaynak Göster

APA Ölçen, O. (2023). Unit Root Tests of Airline’s Stock Returns Considering Alliances. Journal of Aviation, 7(3), 457-465. https://doi.org/10.30518/jav.1345665

Journal of Aviation - JAV 


www.javsci.com - editor@javsci.com


9210This journal is licenced under a Creative Commons Attiribution-NonCommerical 4.0 İnternational Licence