Advertisement

Does VIX scare stocks of tourism companies?

  • Saffet Akdağ
  • İlker Kiliç
  • Hakan YildirimEmail author
Original Paper

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.

Keywords

Financial contagion Causality analysis Tourism firms Volatility index 

JEL Classification

C32 C61 G17 G32 L83 

Notes

References

  1. Akadiri, S.S., Lasisi, T.T., Uzuner, G., Akadiri, A.C.: Examining the causal impacts of tourism, globalization, economic growth and carbon emissions in tourism island territories: bootstrap panel Granger causality analysis. Curr. Issues Tour. 1–15 (2018)Google Scholar
  2. Alola, A.A., Alola, U.V.: Agricultural land usage and tourism impact on renewable energy consumption among Coastline Mediterranean Countries. Energy Environ. 29(8), 1438–1454 (2018)CrossRefGoogle Scholar
  3. Alola, A.A., Uzuner, G.: The housing market and agricultural land dynamics: Appraising with Economic Policy Uncertainty Index. Int. J. Finance Econ. (2019)Google Scholar
  4. Alola, A.A., Alola, U.V.: The dynamics of tourism—refugeeism on house prices in Cyprus and Malta. J. Int. Migr. Integr. 20(2), 521–536 (2019)CrossRefGoogle Scholar
  5. Alola, U.V., Alola, A.A., Avci, T., Ozturen, A.: Impact of corruption and insurgency on tourism performance: a case of a developing country. Int. J. Hosp. Tour. Admin. 1–17 (2019a)Google Scholar
  6. Alola, U.V., Cop, S., Adewale Alola, A.: The spillover effects of tourism receipts, political risk, real exchange rate, and trade indicators in Turkey. Int. J. Tour. Res. (2019b)Google Scholar
  7. Asteriou, D., Hall, S.G.: Applied Econometrics, 2nd edn. Macmillan International Higher Education, London (2011)Google Scholar
  8. Başoğlu, U., Ceylan, A., Parasız, İ.: Finans: Teori, Kurum Ve Araçlar. Ekin Basım Yayım Dağıtım (2009)Google Scholar
  9. Beeton, S.: Horseback tourism in Victoria, Australia: cooperative, proactive crisis management. Curr. Issues Tour. 4(5), 422–439 (2001)CrossRefGoogle Scholar
  10. Bilen, M., Yilanci, V., Eryüzlü, H.: Tourism development and economic growth: a panel granger causality analysis in the frequency domain. Curr. Issues Tour. 20(1), 27–32 (2017)CrossRefGoogle Scholar
  11. Bloomberg. World Stock Exchanges (2018). https://www.bloomberght.com/Borsa/Dunya-Borsalari. Accessed 2 June 2018
  12. Bodart, V., Candelon, B.: Evidence of interdependence and contagion using a frequency domain framework. Emerg. Mark.Rev. 10(2), 140–150 (2009)CrossRefGoogle Scholar
  13. Breitung, J.Ve, Candelon, B.: Testing for short and long-run causality: a frequency domain approach. J. Econom. 132(2), 363–378 (2006)CrossRefGoogle Scholar
  14. CBOE (2018) Chicago Board Options Exchange. http://www.cboe.com/Vix, Accessed 7 Apr 2018
  15. CNBC. Stock Markets (2018). https://www.cnbc.com/markets/. Accessed 8 June 2018
  16. Chen, J., Jiang, F., Liu, Y., Tu, J.: International volatility risk and chinese stock return predictability. J. Int. Money Finance 70, 183–203 (2017)CrossRefGoogle Scholar
  17. Ciner, Ç.: Eurocurrency interest rate linkages: a frequency domain analysis. Int. Rev. Econ. Finance 20(4), 498–505 (2011)CrossRefGoogle Scholar
  18. Demir, E., Ersan, O.: The impact of economic policy uncertainty on stock returns of Turkish tourism companies. Curr. Issues Tour. 21(8), 847–855 (2018)CrossRefGoogle Scholar
  19. Demir, E., Alıcı, Z.A., Chi Keung Lau, M.: Macro explanatory factors of Turkish tourism companies’ stock returns. Asia Pac. J. Tour. Res. 22(4), 370–380 (2017)CrossRefGoogle Scholar
  20. Dickey, D.A., Fuller, W.A.: Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 1057–1072 (1981)CrossRefGoogle Scholar
  21. Dikmen, N.: Ekonometri: Temel Kavramlar Ve Uygulamalar. Dora Basım Yayım Dağ. Ltd. Şti, Bursa (2012)Google Scholar
  22. Emhan, A.: Risk Yönetim Süreci Ve Risk Yönetmekte Kullanılan Teknikler. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi 23(3), 209–220 (2009)Google Scholar
  23. Enders, W.: Applied Econometric Time Series, 4th edn. Wiley, Hoboken (2015)Google Scholar
  24. Erdoğdu, Ö.G.D.H., Baykut, A.G.E.: BIST Banka Endeksi’nin (XBANK) VIX Ve MOVE Endeksleri İle İlişkisinin Analizi. Türkiye Bankalar Birliği Bankacılar Dergisi 98, 57–72 (2016)Google Scholar
  25. Fabozzi, F.J., Focardi, S.M., Rachev, S.T., Arshanapalli, B.G.: The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications. Wiley, Hoboken (2014)CrossRefGoogle Scholar
  26. Fountain, R.L., Herman Jr., J.R., Rustvold, D.L.: An application of Kendall distributions and alternative dependence measures: SPX vs. VIX. Insur. Math. Econ. 42(2), 469–472 (2008)CrossRefGoogle Scholar
  27. Geweke, J.: Measurement of linear dependence and feedback between multiple time series. J. Am. Stat. Assoc. 77(378), 304–313 (1982)CrossRefGoogle Scholar
  28. Granger, C.W.: Causality, cointegration, and control. J. Econ. Dyn. Control 12(2–3), 551–559 (1988)CrossRefGoogle Scholar
  29. Granger, C.W., Newbold, P.: Spurious regressions in econometrics. J. Econom. 2(2), 111–120 (1974)CrossRefGoogle Scholar
  30. Granger, C.W.: Investigating causal relations by econometric models and cross-spectral methods. Econometrica 424–438 (1969)CrossRefGoogle Scholar
  31. Greene, W.: Econometric Analysis, 7th edn. Pearson Education Limited, London (2012)Google Scholar
  32. Gujarati, D.N., Porter, D.C. (Çev. Şenesen, Ü., & Günlük-Şenesen, G.): Temel Ekonometri. İstanbul: Literatür Yayıncılık (2012)Google Scholar
  33. Hassan, M. K. Maroney, N. C., El-Sady, H. M., Telfah, A.: Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa. Econ. Syst. 27(1), 63–82 (2003)CrossRefGoogle Scholar
  34. Heinonen, A.: The fear gauge–VIX volatility index and the time-varying relationship between implied volatility and stock returns. Doctoral dissertation (2013)Google Scholar
  35. Hosoya, Y.: The decomposition and measurement of the interdependency between second-order static processes. Probab. Theory Relat. Fields 88(4), 429–444 (1991)CrossRefGoogle Scholar
  36. Huang, T.C., Wang, K.Y.: Investors’ fear and herding behavior: evidence from the Taiwan Stock Market. Emerg. Mark. Finance Trade 53(10), 2259–2278 (2017)CrossRefGoogle Scholar
  37. Investing, World Indices (2018). https://www.investing.com/İndices/World-Indices. Accessed 2 June 2018
  38. İskenderoğlu, Ö., Akdağ, S.: VIX Korku Endeksi İle Çeşitli Ülkelerin Hisse Senedi Endeks Getirileri Arasında Bir Nedensellik Analizi, pp. 556–570. Uluslararası Ekonomi Araştırmaları ve Finansal Piyasalar Kongresi, Kapadokya (2018)Google Scholar
  39. Johansen, S.: Statistical analysis of cointegration vector. J. Econ. Dyn. Control 12, 231–254 (1988)CrossRefGoogle Scholar
  40. Johansen, S., Juselius, K.: Maximum likelihood estimation and inference on cointegration—with applications to the demand for money. Oxf. Bull. Econ. Stat. 52(2), 169–210 (1990)CrossRefGoogle Scholar
  41. Kaya, E.: Borsa Istanbul (BIST) 100 Endeksi İle Zimni Volatilite (VIX) Endeksi Arasindaki Es-Bütünlesme Ve Granger Nedensellik/Cointegration and Granger Causality Between Implied Volatility (VIX) Index and Istanbul Stock Exchange (BIST) 100 Index. Sosyal Ve Ekonomik Arastırmalar Dergisi 17(28), 1 (2015)Google Scholar
  42. Koçel, T.: İşletme Yöneticiliği (Yönetim Ve Organizasyon, Organizasyonlarda Davranış, Klasik-Modern-Çağdaş Ve Güncel Yaklaşımlar) 17. Baskı. Beta Yayınevi, İstanbul (2018)Google Scholar
  43. Korkmaz, T., Çevık, E.İ.: Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi. J. BRSA Bank. Financ. Mark. 3(2), 87–105 (2009)Google Scholar
  44. Kratschell, K., Schmidt, T.: Long-run trends or short-run fluctuations—what establishes the correlation between oil and food prices? Ruhr Econ. Pap. 357, 3–19 (2012)Google Scholar
  45. Kula, V., Baykut, E.: Borsa İstanbul kurumsal yönetim endeksi (XKURY) ile korku endeksi (Chicago Board Options Exchange Volatility Index-VIX) arasındaki ilişkinin analizi. Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(2), 27–37 (2017)Google Scholar
  46. Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., Shin, Y.: Testing the full hypothesis of static against the alternative of a unit root. J. Econom. 54, 159–178 (1992)CrossRefGoogle Scholar
  47. Nelson, C.R., Plosser, C.R.: Trends and random walks in macroeconomic time series: some evidence and implications. J. Monet. Econ. 10, 139–162 (1982)CrossRefGoogle Scholar
  48. Ozair, M.: What does the VIX actually measure? An analysis of the causation of SPX and VIX. ACRN J. Finance Risk Perspect. 3(2), 83–132 (2014)Google Scholar
  49. Papatheodorou, A., Rosselló, J., Xiao, H.: Global economic crisis and tourism: consequences and perspectives. J. Travel Res. 49(1), 39–45 (2010)CrossRefGoogle Scholar
  50. Perles-Ribes, J.F., Ramón-Rodríguez, A.B., Rubia-Serrano, A., Moreno-Izquierdo, L.: Economic crisis and tourism competitiveness in Spain: permanent effects or transitory shocks? Curr. Issues Tour. 19(12), 1210–1234 (2016)CrossRefGoogle Scholar
  51. Phillips, P.C.B., Perron, P.: Testing for a unit root in time series regression. Biometrika 75, 335–346 (1988)CrossRefGoogle Scholar
  52. Saint Akadiri, S., Alola, A.A., Akadiri, A.C.: The role of globalization, real income, tourism in environmental sustainability target. Evidence from Turkey. Sci. Total Environ. 687, 423–432 (2019)CrossRefGoogle Scholar
  53. Sarwar, G.: An empirical investigation of the premium for volatility risk in currency options for the British pound. Appl. Financ. Econ. 12(12), 913–921 (2002)CrossRefGoogle Scholar
  54. Sarwar, G.: Is VIX an investor fear gauge in BRIC equity markets? J. Multinatl. Financ. Manag. 22(3), 55–65 (2012)CrossRefGoogle Scholar
  55. Sarwar, G., Khan, W.: The effect of US stock market uncertainty on emerging market returns. Emerg. Mark. Finance Trade 53(8), 1796–1811 (2017)CrossRefGoogle Scholar
  56. Sevüktekin, M., Nargeleçekenler, M.: Ekonometrik Zaman Serileri Analizi: Eviews Uygulamalı. Nobel Yayın Dağıtım, Ankara (2007)Google Scholar
  57. Song, H., Kim, J.H., Yang, S.: Confidence intervals for tourism demand elasticity. Ann. Tour. Res. 37(2), 377–396 (2010)CrossRefGoogle Scholar
  58. Tarı, R., Yıldırım, D.Ç.: Döviz Kuru Belirsizliğinin İhracata Etkisi: Türkiye İçin Bir Uygulama. Yönetim Ve Ekonomi: Celal Bayar Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 16(2), 95–105 (2009)Google Scholar
  59. Wang, J.: Foreign equity trading and emerging market volatility: evidence from Indonesia and Thailand. J. Dev. Econ. 84(2), 798–811 (2007)CrossRefGoogle Scholar
  60. Whaley, R.E.: The investor fear gauge. J. Portf. Manag. 26(3), 12–17 (2000)CrossRefGoogle Scholar
  61. Xin, M.: The VIX volatility index, U.U.D.M. project report 2011:7, pp. 1–50 (2011)Google Scholar
  62. Yanfeng, W.: The dynamic relationships between oil prices and the Japanese economy: a frequency domain analysis. Rev. Econ. Finance 3, 57–67 (2013)Google Scholar
  63. Yao, F., Hosoya, Y.: Inference on one-way effect and evidence in Japanese macroeconomic data. J. Econom. 98(2), 225–255 (2000)CrossRefGoogle Scholar
  64. Yule, G.U.: Why do we sometimes get nonsense-correlations between time-series? A study in sampling and the nature of time-series. J. R. Stat. Soc. 89(1), 1–63 (1926)CrossRefGoogle Scholar

Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Faculty of Applied Science, Banking and FinanceTarsus UniversityTarsusTurkey
  2. 2.Department of Travel Tourism and Entertainment Services, Akdağmadeni Vocational High SchoolBozok UniversityYozgatTurkey
  3. 3.International Logistics and Transportation, Faculty of Economics, Administrative and Social Sciencesİstanbul Gelişim UniversityIstanbulTurkey

Personalised recommendations