(Universitas Methodist Indonesia, Indonesia)(2) Henry Henry
(Universitas Methodist Indonesia, Indonesia)(3) Nagian Toni
(Universitas Prima Indonesia, Indonesia)(4) Erika Erika
(STIE Profesional Management College Indonesia, Indonesia)(5) Gai Sin Liem
(Universitas Ma Chung, Indonesia)*corresponding author
AbstractThe study aims to examine which factors affect the tourism stock price more. The study uses weekly exchange rate and tourism stock prices; the inflation, interest rate, and the number of tourism use monthly data. Using descriptive statistics, correlation matrix, augmented Dickey Fuller's unit root test, VAR, the Granger causality test, and Impulse Response. The results show that all the variables in our observations have no causal relationship. Interest rates do not have a causal relationship with exchange rates, inflation, number of tourists, and tourism stock prices. The VAR models show interest rate has a negative impact on tourism stock price, exchange rate, and the number of tourists positively impacting tourism stock price. Inflation has no impact on tourism stock price. A decrease in interest rates will encourage investment to develop a business. A decrease in the IDR exchange rate against the USD will lower the product's price, so foreign tourists will feel that Indonesian goods are getting cheaper; thus, they will spend more and increase the tourism company's share price. Regulators can use the research results by lowering and maintaining the stability of interest rates, exchange rates, inflation, and increasing the number of tourists to Indonesia. KeywordsInterest Rate; Exchange Rate; Inflation; Number of Tourists; Tourism Stock Price
|
DOIhttps://doi.org/10.31763/ijcs.v4i1.507 |
Article metrics10.31763/ijcs.v4i1.507 Abstract views : 1682 | PDF views : 551 |
Cite |
Full Text Download
|
References
[1] “World Heritage List.” http://whc.unesco.org/en/list/ accessed in May 2021.
[2] A. Jelušić, “Modelling tourist consumption to achieve economic growth and external balance: Case of Croatia,” Tour. Hosp. Manag., vol. 23, no. 1, pp. 87–104, 2017, doi: 10.20867/thm.23.1.5.
[3] J. Rosselló-Nadal and J. HE, “Tourist arrivals versus tourist expenditures in modelling tourism demand,” Tour. Econ., vol. 26, no. 8, pp. 1311–1326, 2020, doi: 10.1177/1354816619867810.
[4] C. P. Nguyen, C. Schinckus, and T. D. Su, “Economic policy uncertainty and demand for international tourism: An empirical study,” Tour. Econ., vol. 26, no. 8, pp. 1415–1430, 2020, doi: 10.1177/1354816619900584.
[5] T. Havranek and A. Zeynalov, “Forecasting tourist arrivals: Google Trends meets mixed-frequency data,” Tour. Econ., vol. 27, no. 1, pp. 129–148, 2021, doi: 10.1177/1354816619879584.
[6] R. Ulucak, A. G. Yücel, and S. Ç. İlkay, “Dynamics of tourism demand in Turkey: Panel data analysis using gravity model,” Tour. Econ., vol. 26, no. 8, pp. 1394–1414, 2020, doi: 10.1177/1354816620901956.
[7] Z. Šergo, “The wealth effect and tourism - ARDL modeling and granger causality in selected EU countries,” Tour. Hosp. Manag., vol. 26, no. 1, pp. 195–212, 2020, doi: 10.20867/thm.26.1.11.
[8] R. Croes, J. Ridderstaat, M. Bąk, and P. Zientara, “Tourism specialization, economic growth, human development and transition economies: The case of Poland,” Tour. Manag., vol. 82, no. June 2020, 2021, doi: 10.1016/j.tourman.2020.104181.
[9] J. Vanegas, M. Valencia, J. Restrepo, and G. Muñeton, “Modeling determinants of tourism demand in Colombia,” Tour. Hosp. Manag., vol. 26, no. 1, pp. 49–67, 2020, doi: 10.20867/thm.26.1.4.
[10] M. Xu, W. Yang, and Z. Huang, “Do investor relations matter in the tourism industry? Evidence from public opinions in China,” Econ. Model., vol. 94, no. February, pp. 923–933, 2021, doi: 10.1016/j.econmod.2020.02.033.
[11] M. C. Wang, T. Chang, and J. Min, “Revisit stock price bubbles in the COVID-19 period: Further evidence from Taiwan’s and Mainland China’s tourism industries,” Tour. Econ., vol. 19, no. November 2019, pp. 1–10, 2021, doi: 10.1177/1354816620983954.
[12] N. P. Ha, “Impact of macroeconomic factors and interaction with institutional performance on Vietnamese bank share prices,” Banks Bank Syst., vol. 16, no. 1, pp. 127–137, 2021, doi: 10.21511/bbs.16(1).2021.12.
[13] S. Cheah et al., “Volume 37 , Issue 1 A nonlinear ARDL analysis on the relation between stock price and exchange,” vol. 37, no. 1, pp. 336–346.
[14] N. Nordin, S. Nordin, and R. Ismail, “The Impact of Commodity Prices, Interest Rate and Exchange Rate on Stock Market Performance: An Empirical Analysis From Malaysia,” Malaysian Manag. J., no. March, 2020, doi: 10.32890/mmj.18.2014.9015.
[15] F. Omer Elmahgop and O. Ahmed Sayed, “The Effect of Inflation Rates on Stock Market Returns in Sudan: The Linear Autoregressive Distributed Lag Model,” Asian Econ. Financ. Rev., vol. 10, no. 7, pp. 808–815, 2020, doi: 10.18488/journal.aefr.2020.107.808.815.
[16] M. A. Nasir, M. Shahbaz, T. T. Mai, and M. Shubita, “Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets,” Int. J. Financ. Econ., vol. 26, no. 1, pp. 1435–1458, 2021, doi: 10.1002/ijfe.1857.
[17] A. Algarini, “Impact of Gdp, Foreign Direct Investment, Inflation Rate, and Interst Rate on Stock Market Values in Saudi Arabia,” Int. J. Soc. Sci. Econ. Res., vol. 5, no. 7, pp. 1667–1678, 2020, doi: 10.46609/ijsser.2020.v05i07.002.
[18] J. Hu, G. J. Jiang, and G. Pan, “Market Reactions to Central Bank Interest Rate Changes: Evidence from the Chinese Stock Market*,” Asia-Pacific J. Financ. Stud., vol. 49, no. 5, pp. 803–831, 2020, doi: 10.1111/ajfs.12316.
[19] T. S. Goh, H. Henry, and A. Albert, “Determinants and Prediction of the Stock Market during COVID-19: Evidence from Indonesia,” J. Asian Financ. Econ. Bus., vol. 8, no. 1, pp. 001–006, 2021, doi: 10.13106/jafeb.2021.vol8.no1.001.
[20] Q. N. Alam, “Impacts of Macroeconomic Variables on the Stock Market Returns of South Asian Region,” Can. J. Bus. Inf. Stud., vol. 2, no. x, pp. 24–34, 2020, doi: 10.34104/cjbis.020.24034.
[21] M. Kumar, “A bivariate linear and nonlinear causality between stock prices and exchange rates,” Econ. Bull., vol. 29, no. 4, pp. 2884–2895, 2009.
[22] S. Bogdan, “Macroeconomic impact on stock returns in the Croatian hospitality industry,” Zb. Veleučilišta u Rijeci, vol. 7, no. 1, pp. 53–68, 2019, doi: 10.31784/zvr.7.1.2.
[23] D. A. Dickey and W. A. Fuller, “Time Series With a Unit Root,” 1986.
[24] C. A. Sims, “Discrete Approximations to Continuous Time Distributed Lags in Econometrics,” Econometrica, vol. 39, no. 3, p. 545, 1971, doi: 10.2307/1913265.
[25] C. A. Sims, “The Role of Approximate Prior Restrictions in Distributed Lag Estimation,” vol. 67, no. 337, pp. 169–175, 2014.
[26] S. Johansen, “Statistical analysis of cointegration vectors,” J. Econ. Dyn. Control, vol. 12, no. 2–3, pp. 231–254, 1988, doi: 10.1016/0165-1889(88)90041-3.
[27] M. L. Estimation, I. O. N. Cointegration, A. To, T. H. E. Demand, and F. O. R. Money, “Maximum Likelihood Estimation and Inference on Cointegration - With,” vol. 2, 1990.
[28] R. Kurniawan, “Dynamic Relationship between Stock Market and Foreign Exchange Market in Indonesia,” Econ. Jounal FE-Unpad, vol. 20, no. 1, pp. 112–137, 2005.
[29] A. Ajayi and O. Olaniyan, “Dynamic Relations between Macroeconomic Variables and Stock Prices,” Br. J. Econ. Manag. Trade, vol. 12, no. 3, pp. 1–12, 2016, doi: 10.9734/bjemt/2016/22524.
[30] U. Robert F. ENGLE and Byung Sam YOO University of California, San Diego, CA 92093, “Co-Integration and Error Correction : Representation , Estimation ,” vol. 55, no. 2, pp. 251–276, 2012.
[31] H. Lütkepohl and M. Kratzig, Applied Times Series. 2004.
[32] I. Al Rusman, B. N. Ruchjana, and Sukono, “Vector autoregressive (VAR) model for rain-fall forecasting in west java indonesia at the peak of the rainy season,” Int. J. Recent Technol. Eng., vol. 8, no. 2 Special Issue 7, pp. 216–223, 2019, doi: 10.35940/ijrte.B1054.0782S719.
Refbacks
- There are currently no refbacks.
Copyright (c) 2021 Thomas Sumarsan Goh, Henry Henry, Nagian Toni, Erika Erika
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
International Journal of Communication and Society
ISSN 2684-9267
Published by Association for Scientific Computing Electronics and Engineering (ASCEE)
W : http://pubs2.ascee.org/index.php/ijcs
E : dani@ascee.org
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.