IDEAS home Printed from https://ideas.repec.org/a/spr/lsprsc/v12y2019i3d10.1007_s12076-019-00238-w.html
   My bibliography  Save this article

Does VIX scare stocks of tourism companies?

Author

Listed:
  • Saffet Akdağ

    (Tarsus University)

  • İlker Kiliç

    (Bozok University)

  • Hakan Yildirim

    (İstanbul Gelişim University)

Abstract

In the recent time, there has been increasing importance of tourism development to the global economic dynamics inspite of the global uncertainties. In this regard, the current study is aimed to find out if the volatility index (VIX) affects the returns of the firms operating in the tourism sector in 11 countries. The relationship between the variables in the study was tested through causality and cointegration tests. As a result, the change in the VIX was found to have causality towards the change in the tourism indices of the countries except for the USA and Sri Lanka. In addition, it was found that there was a long-term relationship between the variables and that the increase in VIX caused a decrease in the return of tourism indices. Hence, the current study offers significant policy direction for the tourism industry operations and the government of the examined destination countries.

Suggested Citation

  • Saffet Akdağ & İlker Kiliç & Hakan Yildirim, 2019. "Does VIX scare stocks of tourism companies?," Letters in Spatial and Resource Sciences, Springer, vol. 12(3), pages 215-232, December.
    • Handle: RePEc:spr:lsprsc:v:12:y:2019:i:3:d:10.1007_s12076-019-00238-w
    DOI: 10.1007/s12076-019-00238-w
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s12076-019-00238-w
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s12076-019-00238-w?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Bodart, Vincent & Candelon, Bertrand, 2009. "Evidence of interdependence and contagion using a frequency domain framework," Emerging Markets Review, Elsevier, vol. 10(2), pages 140-150, June.
    2. Ciner, Cetin, 2011. "Eurocurrency interest rate linkages: A frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 498-505, October.
    3. Wei Yanfeng, 2013. "The Dynamic Relationships between Oil Prices and the Japanese Economy: A Frequency Domain Analysis," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 57-67, May.
    4. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    5. Teng-Ching Huang & Kuei-Yuan Wang, 2017. "Investors’ Fear and Herding Behavior: Evidence from the Taiwan Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(10), pages 2259-2278, October.
    6. Fountain, Robert L. & Herman Jr., John R. & Rustvold, D. Leif, 2008. "An application of Kendall distributions and alternative dependence measures: SPX vs. VIX," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 469-472, April.
    7. Yao, Feng & Hosoya, Yuzo, 2000. "Inference on one-way effect and evidence in Japanese macroeconomic data," Journal of Econometrics, Elsevier, vol. 98(2), pages 225-255, October.
    8. Kabir Hassan, M. & Maroney, Neal C. & Monir El-Sady, Hassan & Telfah, Ahmad, 2003. "Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa," Economic Systems, Elsevier, vol. 27(1), pages 63-82, March.
    9. Ghulam Sarwar & Walayet Khan, 2017. "The Effect of US Stock Market Uncertainty on Emerging Market Returns," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(8), pages 1796-1811, August.
    10. Andrew Adewale Alola & Gizem Uzuner, 2020. "The housing market and agricultural land dynamics: Appraising with Economic Policy Uncertainty Index," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(2), pages 274-285, April.
    11. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    12. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    13. Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun, 2017. "International volatility risk and Chinese stock return predictability," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 183-203.
    14. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    15. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
    16. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    17. Wang, Jianxin, 2007. "Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand," Journal of Development Economics, Elsevier, vol. 84(2), pages 798-811, November.
    18. Andrew Adewale Alola & Uju Violet Alola, 2019. "The Dynamics of Tourism—Refugeeism on House Prices in Cyprus and Malta," Journal of International Migration and Integration, Springer, vol. 20(2), pages 521-536, May.
    19. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    20. Ghulam Sarwar, 2002. "An empirical investigation of the premium for volatility risk in currency options for the British pound," Applied Financial Economics, Taylor & Francis Journals, vol. 12(12), pages 913-921.
    21. Andrew Adewale Alola & Uju Violet Alola, 2018. "Agricultural land usage and tourism impact on renewable energy consumption among Coastline Mediterranean Countries," Energy & Environment, , vol. 29(8), pages 1438-1454, December.
    22. Sarwar, Ghulam, 2012. "Is VIX an investor fear gauge in BRIC equity markets?," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 55-65.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Saffet Akdağ & İlker Kılıç & Mert Gürlek & Andrew Adewale Alola, 2023. "Does economic policy uncertainty drive outbound tourism expenditures in 20 selected destinations?," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(5), pages 4327-4337, October.
    2. Hakan Yıldırım, 2022. "VIX or ınvestors scare?," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(2), pages 769-777, April.
    3. Ferhat Pehlivanoğlu & Saffet Akdağ & Andrew Adewale Alola, 2021. "The causal nexus of geopolitical risks, consumer and producer confidence indexes: evidence from selected economies," Quality & Quantity: International Journal of Methodology, Springer, vol. 55(4), pages 1261-1273, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Saffet Akdag & Ömer İskenderoglu & Andrew Adewale Alola, 2020. "The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise," Letters in Spatial and Resource Sciences, Springer, vol. 13(1), pages 49-65, April.
    2. İskenderoglu Ömer & Akdag Saffet, 2020. "Comparison of the Effect of Vix Fear Index on Stock Exchange Indices of Developed and Developing Countries: the G20 Case," South East European Journal of Economics and Business, Sciendo, vol. 15(1), pages 105-121, June.
    3. Saffet AKDAĞ & Ali DERAN & Ömer İSKENDEROĞLU, 2020. "Is PMI a Leading Indicator: Case of TurkeyAbstract: In this study, the causal relationships of the Purchasing Managers Index (PMI) with various financial factors are examined. As a result of the analy," Sosyoekonomi Journal, Sosyoekonomi Society, issue 28(45).
    4. de Meulemeester, Jean-Luc & Rochat, Denis, 1995. "A causality analysis of the link between higher education and economic development," Economics of Education Review, Elsevier, vol. 14(4), pages 351-361, December.
    5. Peter Kehinde, Mogaji, 2010. "Fisher Effect and the Relationship between Nominal Interest Rates and Inflation: The Case of Nigeria," MPRA Paper 98760, University Library of Munich, Germany.
    6. N. Vijayamohanan Pillai, 2010. "Electricity Demand Analysis and Forecasting- The Tradition is Questioned," Working Papers id:2966, eSocialSciences.
    7. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    8. Bekiros, Stelios & Marcellino, Massimiliano, 2013. "The multiscale causal dynamics of foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 282-305.
    9. Subrata ROY, 2020. "Foreign trade policy and economic growth: Indian evidence," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(624), A), pages 107-126, Autumn.
    10. Nafeesa Yunus & Peggy Swanson, 2007. "Modelling Linkages between US and Asia‐Pacific Securitized Property Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(2), pages 95-122.
    11. Jacint Balaguer & Manuel Cantavella-Jorda, 2002. "Tourism as a long-run economic growth factor: the Spanish case," Applied Economics, Taylor & Francis Journals, vol. 34(7), pages 877-884.
    12. Tang, Chor Foon, 2008. "A re-examination of the role of foreign direct investment and exports in Malaysia's economic growth," MPRA Paper 38536, University Library of Munich, Germany.
    13. Asafu-Adjaye, John, 2000. "The relationship between energy consumption, energy prices and economic growth: time series evidence from Asian developing countries," Energy Economics, Elsevier, vol. 22(6), pages 615-625, December.
    14. Arize, A. C., 1996. "Real exchange-rate volatility and trade flows: The experience of eight European economies," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 187-205.
    15. Jimy Ferrer Carbonell & Roberto Escalante Semerena, 2014. "Demanda de gasolina en la zona metropolitana del Valle de México: análisis empírico de la reducción del subsidio," Revista de Economía del Rosario, Universidad del Rosario, June.
    16. Arize, A. C., 1996. "Cointegration test of a long-run relation between the trade balance and the terms of trade in sixteen countries," The North American Journal of Economics and Finance, Elsevier, vol. 7(2), pages 203-215.
    17. Sayef Bakari, 2017. "The Impact of Vegetables Exports on Economic Growth in Tunisia," Economic Research Guardian, Weissberg Publishing, vol. 7(2), pages 72-87, December.
    18. Chor Foon Tang & Hooi Hooi Lean, 2009. "The Effects Of Disaggregated Savings On Economic Growth In Malaysia - Generalised Variance Decomposition Analysis," Development Research Unit Working Paper Series 04-09, Monash University, Department of Economics.
    19. Tang, Chor Foon, 2010. "The determinants of health expenditure in Malaysia: A time series analysis," MPRA Paper 24356, University Library of Munich, Germany.
    20. S. Gurcan Gulen, 1996. "Is OPEC a Cartel? Evidence from Cointegration and Causality Tests," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 43-57.

    More about this item

    Keywords

    Financial contagion; Causality analysis; Tourism firms; Volatility index;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:lsprsc:v:12:y:2019:i:3:d:10.1007_s12076-019-00238-w. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.