Abstract
This study investigates the influences of macroeconomic factors on hotel stock returns in Japan using a 30-year data period. In addition to the macroeconomic variables commonly used in previous studies (i.e., changes in discount rate [DSCHG], growth rates of money supply [ΔMS], changes in unemployment rate [UPCHG], growth rates of consumer price index [ΔCPI], and industrial production [ΔIP]), we also include the percentage change in yen–dollar exchange rate (ΔEXCH), the percentage change in oil price (ΔOILP), and growth rates of total trade (ΔTTR) as critical explanatory factors of Japanese hotel stock returns. This study uses the Granger causality procedure based on the vector autoregression model. Test results indicate that economic variables DSCHG, UPCHG, and ΔOILP could significantly cause Japanese hotel stock returns and serve as significant determinants of Japanese hotel stock returns.
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