IDEAS home Printed from https://ideas.repec.org/a/prg/jnlpol/v2024y2024i4id1424p626-652.html
   My bibliography  Save this article

Examining the Relationship Between Tourism Index Return and Financial, Macroeconomic and Tourism Industry Development Indicators: An Application of MS-VAR Models

Author

Listed:
  • Yesim Helhel
  • Eray Akgun

Abstract

The tourism industry has flourished considerably over the years in Turkey and has competed with top international destinations. This study aims to identify the structural breaks specific to Turkey with a developing capital market and examine the causality relationship between tourism index return and financial, macroeconomic and tourism industry development indicators from January 2005 to February 2022. The MS-VAR econometric model based on two regimes detects nonlinear and asymmetrical structures in the dataset. Our findings indicate local effects of shocks on financial and macroeconomic indicators during regime transition periods. Furthermore, there are unidirectional causality relationships between real exchange rate, tourism index returns and the value of trading volume, but no relationship is found between tourism index return and other indicators, namely, bank loans granted to the tourism industry and tourist arrivals.

Suggested Citation

  • Yesim Helhel & Eray Akgun, 2024. "Examining the Relationship Between Tourism Index Return and Financial, Macroeconomic and Tourism Industry Development Indicators: An Application of MS-VAR Models," Politická ekonomie, Prague University of Economics and Business, vol. 2024(4), pages 626-652.
    • Handle: RePEc:prg:jnlpol:v:2024:y:2024:i:4:id:1424:p:626-652
    DOI: 10.18267/j.polek.1424
    as

    Download full text from publisher

    File URL: http://polek.vse.cz/doi/10.18267/j.polek.1424.html
    Download Restriction: free of charge
    File URL: http://polek.vse.cz/doi/10.18267/j.polek.1424.pdf
    Download Restriction: free of charge
    File URL: https://libkey.io/10.18267/j.polek.1424?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. Tarun K. Mukherjee & Atsuyuki Naka, 1995. "Dynamic Relations Between Macroeconomic Variables And The Japanese Stock Market: An Application Of A Vector Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 223-237, June.
    2. Mukherjee, Tarun K & Naka, Atsuyuki, 1995. "Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 223-237, Summer.
    Full references (including those not matched with items on IDEAS)

    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. Naushad Alam, 2017. "Analysis of the impact of select macroeconomic variables on the Indian Stock Market: A heteroscedastic cointegration approach," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(1), pages 119-127, March.
    2. Zhong, Meirui & Zhang, Rui & Ren, Xiaohang, 2023. "The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach," Energy Economics, Elsevier, vol. 123(C).
    3. Caner Demir, 2019. "Macroeconomic Determinants of Stock Market Fluctuations: The Case of BIST-100," Economies, MDPI, vol. 7(1), pages 1-14, February.
    4. Charles K.D. Adjasi, 2009. "Macroeconomic uncertainty and conditional stock-price volatility in frontier African markets: Evidence from Ghana," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 333-349, August.
    5. Tugce Karatas & Ali Hirsa, 2021. "Two-Stage Sector Rotation Methodology Using Machine Learning and Deep Learning Techniques," Papers 2108.02838, arXiv.org.
    6. Mohd Yahya Mohd Hussin & Fidlizan Muhammad & Azila Abdul Razak Fatimah Salwa Abdul Hadi & Pei-Tha Gan, 2017. "The Role of Macroeconomic Variables in the Islamic Real Estate Investment Trusts (I-REIT) Market in Malaysia," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(4), pages 911-926, April.
    7. Alok Kumar Mishra, 2004. "Stock Market and Foreign Exchange Market in India: Are they Related?," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 5(2), pages 209-232, September.
    8. Prabhas Kumar Rath, 2023. "Nexus Between Indian Financial Markets and Macro-economic Shocks: A VAR Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 131-164, March.
    9. Ahmed, Walid M.A., 2020. "Corruption and equity market performance: International comparative evidence," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    10. Kuwornu, John K.M., 2012. "Effect of Macroeconomic Variables on the Ghanaian Stock Market Returns: A Co-integration Analysis," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 4(2), pages 1-12, June.
    11. Tania Morris & Jules Comeau, 2020. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 133-163, June.
    12. Pramod Kumar, Naik & Puja, Padhi, 2012. "The impact of Macroeconomic Fundamentals on Stock Prices revisited: An Evidence from Indian Data," MPRA Paper 38980, University Library of Munich, Germany.
    13. Ahmad Alrazni Alshammari, Basheer Altarturi, Buerhan Saiti, Latifah Munassar, 2020. "The impact of exchange rate, oil price and gold price on the Kuwaiti stock market: a wavelet analysis," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 17(1), pages 31-54, June.
    14. Yoke Yue Kan, 2017. "Macroeconomic environment of bull markets in Malaysia," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(1), pages 72-96, February.
    15. Animesh Bhattacharjee & Joy Das, 2021. "Investigating the Long-run and the Short-run Relationship Between Domestic Macroeconomic Forces and Indian Equity Market: Evidence Based on ARDL Bounds Testing Approach," Paradigm, , vol. 25(1), pages 61-76, June.
    16. Aziz, Abdul & Masih, Mansur, 2018. "Lead-lag relationship between macroeconomic variables and stock market: evidence from Korea," MPRA Paper 99894, University Library of Munich, Germany.
    17. Cristina Balint, 2023. "The Impact of the Macroeconomic Factors on the Bucharest Stock Exchange during the Latest Crisis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 26(86), pages 54-66, December,.
    18. Pathan, Rubina & Masih, Mansur, 2013. "Relationship between macroeconomic variables and stock market index: evidence from India," MPRA Paper 63302, University Library of Munich, Germany.
    19. Asmy, Mohamed & Rohilina, Wisam & Hassama, Aris & Fouad, Md., 2009. "Effects of Macroeconomic Variables on Stock Prices in Malaysia: An Approach of Error Correction Model," MPRA Paper 20970, University Library of Munich, Germany.
    20. Meizal Popat & Garry Griffith & Stuart Mounter & Oscar Cacho, 2022. "Infrastructure investments, regional trade agreements and agricultural market integration in Mozambique," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 14(1), pages 9-22, February.

    More about this item

    Keywords

    Causality; financial development; macroeconomy; MS-VAR; Toda-; Yamamoto; tourism index return;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G19 - Financial Economics - - General Financial Markets - - - Other

    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:prg:jnlpol:v:2024:y:2024:i:4:id:1424:p:626-652. 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: Stanislav Vojir (email available below). General contact details of provider: https://edirc.repec.org/data/uevsecz.html .

    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.