| Summary: | 碩士 === 國立中正大學 === 財務金融所 === 96 === This study investigates the linkage between macroeconomic explanatory factors and hotel stock returns in Japan. In addition to macroeconomic variables commonly used in previous studies, such as changes in discount rate (DSCHG), growth rates of money supply, changes in unemployment rate (UPCHG), growth rates of consumer price index and industrial production, we also include the percentage change in yen/dollar exchange rate, the percentage change in oil price and growth rates of total trade as another critical explanatory factors of Japanese hotel stock returns. Different from the OLS regression analysis, we employ the Granger causality procedure based on the vector autoregression (VAR) model. Test results indicated that DSCHG, UPCHG and could significantly Granger cause Japanese hotel stock returns. Furthermore, empirical findings for the case of Japan are generally in line with previous findings in U.S., Taiwan and China, and support that economic variables can serve as significant determinants of hotel stock returns.
|
|---|
