INFLATION AND MONTHLY STOCK RETURNS RELATIONSHIP IN THE AIRLINE MARKET

Yıl 2023, Cilt: 7 Sayı: 2, 151 - 161, 18.10.2023

Olcay Ölçen

Öz

The aim of this manuscript is to make an empirical analysis on the relationship between stock return
and inflation in selected airlines from different regions of the world and airline alliances on a monthly
selected dataset. The main results show regional, continental, or specific – country-based activities
have got more impacts on inflation-stock return relations than airline alliances in the period between
March 2014 and May 2022. Especially, inflation rates have got a causal, explanative and cointegrating
relation with airline stock returns in Eastern countries or Asia.

Anahtar Kelimeler

Airlines, Inflation, Fourier Analysis, Toda-Yamamoto causality test.

Kaynakça

• Abdi, Y., Li, X., & Càmara‐Turull, X. (2022). How financial performance influences investment in sustainable development initiatives in the airline industry: The moderation role of state‐ownership. Sustainable Development.
• Amihud, Y. (1996). Unexpected inflation and stock returns revisited—evidence from Israel. Journal of Money, Credit and Banking, 28(1), 22-33.
• Baker, D., Merkert, R., & Kamruzzaman, M. (2015). Regional aviation and economic growth: cointegration and causality analysis in Australia. Journal of Transport Geography, 43, 140-150.
• Balduzzi, P. (1995). Stock returns, inflation, and the ‘proxy hypothesis’: A new look at the data. Economics Letters, 48(1), 47-53.
• Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409.
• Bui, T. N. (2019). Inflation and Stock Index: Evidence from Vietnam. Journal of Management Information & Decision Sciences, 22(4).
• Button, K., & Porta, F. (2022). The role of strategic airline alliances in Africa. Journal of Transport Economics and Policy (JTEP), 56(2), 272-294.
• 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.
• Eldomiaty, T., Saeed, Y., Hammam, R., & AboulSoud, S. (2020). The associations between stock prices, inflation rates, interest rates are still persistent: Empirical evidence from stock duration model. Journal of Economics, Finance and Administrative Science, 25(49), 149-161.
• Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American Economic Review, 71(4), 545-565.
• Fernandez, V. (2022). Environmental management: Implications for business performance, innovation, and financing. Technological Forecasting and Social Change, 182, 121797.
• Hakim, M. M., & Merkert, R. (2016). The causal relationship between air transport and economic growth: Empirical evidence from South Asia. Journal of Transport Geography, 56, 120-127.
• Hanson, D., Delibasi, T. T., Gatti, M., & Cohen, S. (2022). How do changes in economic activity affect air passenger traffic? The use of state-dependent income elasticities to improve aviation forecasts. Journal of Air Transport Management, 98, 102147.
• Hepsağ, A. (2022). Ekonometrik zaman serileri analizlerinde güncel yöntemler (Winrats Uygulamali). 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.
• Jamuna, D. (2016). Inflation and its impact on Indian economy. International Journal of Application or Innovation in Engineering & Management (Ijaiem) April.
• Li, L., Narayan, P. K., & Zheng, X. (2010). An analysis of inflation and stock returns for the UK. Journal of international financial markets, institutions and money, 20(5), 519-532.
• Pearce, D. K., & Roley, V. V. (1988). Firm characteristics, unanticipated inflation, and stock returns. The Journal of Finance, 43(4), 965-981.
• Peng, I. C., & Lu, H. A. (2022). Coopetition effects among global airline alliances for selected Asian airports. Journal of Air Transport Management, 101, 102193.
• Pot, F. J., & Koster, S. (2022). Small airports: Runways to regional economic growth? Journal of Transport Geography, 98, 103262.
• Raghoo, P., & Surroop, D. (2020). Price and income elasticities of oil demand in Mauritius: An empirical analysis using cointegration method. Energy Policy, 140, 111400.
• Seçilmiş, N., & Koç, A. (2016). Economic factors affecting aviation demand: Practice of EU countries. Актуальні проблеми економіки, (5), 412-420.
• Tsong, C. C., Lee, C. F., Tsai, L. J., & Hu, T. C. (2016). The Fourier approximation and testing for the null of cointegration. Empirical Economics, 51(3), 1085-1113.
• Tsui, W. H. K., Fu, X., Yin, C., & Zhang, H. (2021). Hong Kong’s aviation and tourism growth-An empirical investigation. Journal of Air Transport Management, 93, 102036.
• Winzar, H., Baumann, C., Soboleva, A., Park, S. H., & Pitt, D. (2022). Competitive Productivity (CP) as an emergent phenomenon: Methods for modelling micro, meso, and macro levels. International Journal of Hospitality Management, 105, 103252.
• Yamaguchi, K. (2022). Productivity impact of government-led bailout of Japan Airlines. Asian Transport Studies, 8, 100064.
• Yen, B. T., & Li, J. S. (2022). Route-based performance evaluation for airlines–A metafrontier data envelopment analysis approach. Transportation Research Part E: Logistics and Transportation Review, 162, 102748.
• Zhang, X., Chen, X., Fang, Z., Zhu, Y., & Liang, J. (2022). Investment in energy resources, natural resources and environment: Evidence from China. Resources Policy, 76, 102707.