The impact of tourism uncertainty on airline stock markets in Korea: a quantile regression approach
Abstract
This study explores the impact of tourism uncertainty, including economic policy uncertainty (EPU) and travel crises arising from issues such as terrorism and disease outbreaks, on airline stock markets in Korea. Airline stock prices are particularly affected by tourism uncertainty. Using data from 2001–2018 and events influencing tourism uncertainty such as the 9/11 terrorist attacks and severe acute respiratory syndrome, quantile regression approach reveals how EPU influences airline stock prices in Korea during three market phases – bearish, normal, and bullish. EPU and travel crises negatively affect airline stock prices in Korea. Specifically, we document that higher EPU and more global travel crises lead to deeper reductions in stock prices in bullish markets. These results provide implications and insights for airline investors, stakeholders, and organizations concerned about the influence of tourism uncertainty on airline stock prices in Korea.
Keyword : Korea, economic policy uncertainty, travel crisis, airline, stock market, quantile regression
How to Cite
Jeon, J.-H. (2021). The impact of tourism uncertainty on airline stock markets in Korea: a quantile regression approach. Journal of Business Economics and Management, 22(4), 923-939. https://doi.org/10.3846/jbem.2021.14668
This work is licensed under a Creative Commons Attribution 4.0 International License.
References
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Demir, E., & Gozgor, G. (2018). Does economic policy uncertainty affect Tourism? Annals of Tourism Research, 69, 15–17. https://doi.org/10.1016/j.annals.2017.12.005
Demir, E., Alici, Z. A., & Lau, M. C. K. (2017). Macro explanatory factors of Turkish tourism companies’ stock returns. Asia Pacific Journal of Tourism Research, 22(4), 370–380. https://doi.org/10.1080/10941665.2016.1271814
Dhariwal, R. (2005). Tourist arrivals in India: How important are domestic disorders? Tourism Economics, 11(2), 185–205. https://doi.org/10.5367/0000000054183522
Dolnicar, S. (2005). Understanding barriers to leisure travel: Tourist fears as a marketing basis. Journal of Vacation Marketing, 11(3), 197–208. https://doi.org/10.1177/1356766705055706
Dragouni, M., Filis, G., Gavriilidis, K., & Santamaria, D. (2016). Sentiment, mood and outbound tourism demand. Annals of Tourism Research, 60, 80–96. https://doi.org/10.1016/j.annals.2016.06.004
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Gozgor, G., & Ongan, S. (2017). Economic policy uncertainty and tourism demand: Empirical evidence from the USA. International Journal of Tourism Research, 19(1), 99–106. https://doi.org/10.1002/jtr.2089
Hannam, K., Butler, G., & Paris, C. M. (2014). Developments and key issues in tourism mobilities. Annals of Tourism Research, 44, 171–185. https://doi.org/10.1016/j.annals.2013.09.010
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Jin, X., Chen, Z., & Yang, X. (2019). Economic policy uncertainty and stock price crash risk. Accounting & Finance, 58(5), 1291–1318. https://doi.org/10.1111/acfi.12455
Kang, W., Ratti, R. A., & Yoon, K. H. (2015). The impact of oil price shocks on the stock market return and volatility relationship. Journal of International Financial Markets, Institutions & Money, 34, 41–54. https://doi.org/10.1016/j.intfin.2014.11.002
Karimi, M. S., Khan, A. A., & Karamelikli, H. (2019). Asymmetric effects of real exchange rate on inbound tourist arrivals in Malaysia: An analysis of price rigidity. International Journal of Tourism Research, 21(2), 156–164. https://doi.org/10.1002/jtr.2249
Kavussanos, M. G., Marcoulis, S. N., & Arkoulis, A. G. (2002). Macroeconomic factors and international industry returns. Applied Financial Economics, 12(12), 923–931. https://doi.org/10.1080/09603100110069374
Kim, H.-B., Park, J.-H., Lee, S. K., & Jang, S. (2012). Do expectations of future wealth increase outbound tourism? Evidence from Korea. Tourism Management, 33(5), 1141–1147. https://doi.org/10.1016/j.tourman.2011.11.017
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Ko, J.-H., & Lee, C.-M. (2015). International economic policy uncertainty and stock prices: Wavelet approach. Economics Letters, 134, 118–122. https://doi.org/10.1016/j.econlet.2015.07.012
Koenker, R., & Bassett, G. (1978). Regression quantiles. Econometrica, 46(1), 33–50. https://doi.org/10.2307/1913643
Koenker, R., & Bassett, G. (1982). Robust tests for heteroscedasticity based on regression quantiles. Econometrica, 50(1), 43–61. https://doi.org/10.2307/1912528
Kolaric, S., & Schiereck, D. (2016). Are stock markets efficient in the face of fear? Evidence from the terrorist attacks in Paris and Brussels. Finance Research Letters, 18, 306–310. https://doi.org/10.1016/j.frl.2016.05.003
Kristjanpoller, W. D., & Concha, D. (2016). Impact of fuel price fluctuations on airline stock returns. Applied Energy, 178, 496–504. https://doi.org/10.1016/j.apenergy.2016.06.089
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