Macro-Economic Determinants of Travel and Leisure Sector: A Co-integration Analysis From Turkey

Abstract

Macro-economic factors have influence on companies in the economy. It is seen that travel and leisure sector firms take less emphasis when they are compared with the other sectors. The study aims to investigate travel and leisure sector firms with macro-economic factors. The data of the study covers the period 2005-2013. Co-integration framework is employed to analyze the data. Inflation, term structure and domestic consumption are detected as significant macro-economic determinants of Travel and Leisure Sector according to Vector Error Correction (VEC) Model and VEC Granger Causality Tests. The results are consisted with the literature. Negative relationship with inflation can indicate counter-cyclical monetary policy. The term structure finding supports the view that maturity premium tends to low around business cycle peaks. Domestic consumption has different coefficient signs which prove the explanation that sometimes consumers turn risk averse and average stock-owning consumer will require high expected returns. The study presents examples of macro-economic relationships and can help individuals who are related to stock market index variations.^[1]

Keywords: Travel and Leisure sector, Macro-economic determinants, Borsa Istanbul, Co-integration

[1] A different version of this study was presented at the 4 th  INTERNATIONAL CONFERENCE ON MANAGEMENT (4 th  ICM 2014), 16 - 17 JUNE 2014.