THE IMPACT OF TOURISM UNCERTAINTY ON AIRLINE STOCK MARKETS IN KOREA: A QUANTILE REGRESSION APPROACH

Ji-Hong Jeon

doi:10.3846/jbem.2021.14668

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.

Highlights

Economic policy uncertainty (EPU) has been discussed extensively in the literature on tourism (Alegre et al, 2013; Antonakakis et al, 2013; Balli et al, 2018; Madanoglu & Ozdemir, 2019)
In Model 3, the full sample is used with economic policy uncertainty (EPU), d9/11, and dSARS. (The ordinary least squares (OLS) and quantile regression (QR) results of Models 1 and 2 are omitted for convenience.) We find a combined effect on the airline stock index (ASI) using EPU and the dummy variables
QR is used to estimate the link between the stock price index, which shows the growth of airlines, and Korea’s EPU

Summary

Introduction

Economic policy uncertainty (EPU) has been discussed extensively in the literature on tourism (Alegre et al, 2013; Antonakakis et al, 2013; Balli et al, 2018; Madanoglu & Ozdemir, 2019). Economic recession, political corruption, and terrorism have been considered to be sources of tourism uncertainty that affect outbound tourists (Arana & León, 2008; Bonham et al, 2006; Dhariwal, 2005). There has been limited discussion on the link of tourism uncertainty on airline stock prices. It would be interesting to investigate the effect of EPU on airline stock prices in a country. We extend the association between tourism uncertainty and airline stock prices by using the EPU index in Korea.

Methods

Discussion

Conclusion