Analysis of Macroeconomic Factors Affecting Airline Stock Prices
DOI:
https://doi.org/10.12795/anduli.2024.i25.05Palabras clave:
transporte aéreo, desempeño de las aerolíneas, prueba de causalidad Toda Yomamato, prueba de causalidad asimétrica Hatemi-JResumen
Change in stock prices and development of the market vary depending on decisions made by investors. Decisions made by investors are determined by corporate performance, the country’s economic situation, political developments and changes in macroeconomic factors. In this study, the relationship between stock prices of airlines and macroeconomic variables was analyzed. To accomplish this, daily macroeconomic data of 14 airlines covering the years 2009-2018 were analyzed by Toda Yomamato and Hatemi-J asymmetric causality tests, and macroeconomic factors (Brent oil price, dollar exchange rate and interest rate) determining stock prices were identified. According to the results of the Toda and Yomamato causality test, it was found that there was a significant relationship among variables of the dollar exchange rate, the price of oil and stock prices of airlines. Except for one airline, there was no significant relationship between interest rate and stock price. According to the results of the Hatemi-J asymmetric causality test, it was found that there were significant relationships among variables of the dollar exchange rate, oil price, interest rate, and airline stock prices. In light of these findings, innovation and adoption of alternative fuel technology by the aviation industry and airlines can be a successful alternative to oil price risk. Results on exchange rate and interest rate changes indicate that airlines and related governments should focus on policies that increase growth of the aviation industry.
Descargas
Métricas
Citas
References
Aggarwal, R., Akhigbe, A., & Mohanty, S. K., (2012). Oil price shocks and transportation firm asset prices. Energy Economics, 34, 1370–1379. https://doi.org/10.1016/j.eneco.2012.05.001
Albeni, M., and Demir, Y., (2005). Makro ekonomik göstergelerin mali sektör hisse senedi fiyatlarına etkisi (İMKB uygulamalı), Muğla Üniversitesi SBE Dergisi Bahar (14), pp. 1-18.
Atems, B. (2021) The response of the U.S. aviation industry to demand and supply shocks in the oil and jet fuel markets, Transportation Research Interdisciplinary Perspectives, 11. 1-12. https://doi.org/10.1016/j.trip.2021.100452
Basher, S.A., and Sadorsky, P., (2006). Oil price risk and emerging stock markets, Global Finance Journal, Cilt 17 (2), pp. 224-251. https://doi.org/10.1016/j.gfj.2006.04.001
Bood L. and Ison, S., (2017). Air Transport Management – An International Perspective. Routledge. London and Newyork.
Büberkökü, Ö. and Şahmaroğlu, S. T., (2016). Beta katsayılarındaki değişimin açıklanmasında işlem hacminin etkisinin incelenmesi: banka hisselerine dayalı bir analiz, İşletme Bilimi Dergisi, 4(1), pp. 1-28. https://doi.org/10.22139/ibd.73036
Candan, D. (2015). Hisse senedi fiyatlarını etkileyen makroekonomik faktörler: BIST’de yer alan elektrik ve iletişim sektörleri üzerine bir uygulama, Yayımlanmamış Yüksek Lisans Tezi, Bahçeşehir Üniversitesi Sosyal Bilimler Enstitüsü, İstanbul.
Carter, D. A., Rogers, D. D. and Simkins, B. J., (2006). Does hedging affect firm value? Evidence from the us airline industry, Financial Management, Vol 35, No:1, pp. 53-86. https://doi.org/10.1111/j.1755-053x.2006.tb00131.x
Contuk, F. Y. and Güngör, B., (2016). Asimetrik nedensellik testi ile finansal gelişme ekonomik büyüme ilişkisinin analizi, Muhasebe ve Finansman Dergisi, 171, 89-108. https://doi.org/10.25095/mufad.396700
Çil Yavuz, N., (2006). Türkiye’de turizm gelirlerinin ekonomik büyümeye etkisinin testi: Yapısal kırılma ve nedensellik analizi, Doğuş Üniversitesi Dergisi, 7(2), 162-171. https://doi.org/10.31671/dogus.2019.249
Elyasiani, E., Mansur, I., & Odusami, B., (2011). Oil price shocks and industry stock returns. Energy Economics, 33, 966–974. https://doi.org/10.1016/j.eneco.2011.03.013
Erbaykal, E. and Okuyan, H. A., (2007). Türkiye’de temel makroekonomik değişkenler ile hisse senedi fiyatları arasındaki nedensellik ilişkisi, İktisat İşletme ve Finans, 22(260), 66-79. https://doi.org/10.3848/iif.2007.260.0064
Ercan, M.K., and Ban, Ü., (2008). Değere dayalı işletme finansı: Finansal yönetim, Ankara: Gazi Kitabevi.
Felix, S. B., Tuyon, J., Matahir, H. and Ghazali, M. F., (2023) Hedging the Oil Price Risk Factor on Airline Stock Returns in the Asia-Pacific: A Test of Effective Hedging Instruments, Australasian Accounting, Business and Finance Journal, 17(2), 122-146. http://dx.doi.org/10.14453/aabfj.v17i2.09
Fernando, S., (2006). Risk management practices in the airline industry. Master thesis, Simon Fraser University-Faculty of Business Administration, Canada.
Gan, C., Lee, M., Yong, H.H.A., ve Zhang, J., (2006). Macroeconomic variables and stock market intractions: New Zealand evidence, Investment Management and Financial Innovations, Volume 4 (3), pp. 89-11.
Hammoudeh, S., & Li, H., (2005). Oil sensitivity and systematic risk in oil sensitive stock indices. Journal of Economics and Business, 57, 1–21. https://doi.org/10.1016/j.jeconbus.2004.08.002
Hanninen, J., (2017). Jet fuel price risk management and exposure in small airlines – Evidence from the Nordic Countries, Master’s Thesis in Accounting Finance. Turun yliopisto Universiy of Turku. Finland.
Hatemi-J, A., (2012). Asymmetric causality tests with an application, Empirical Economics, 43(1), pp. 447-456. https://doi.org/10.1007/s00181-011-0484-x
Horobet, A., Zlatea, M. L. E., Belascu, L., & Dumitrescu, D. G. (2022). Oil price volatility and airlines’ stock returns: evidence from the global aviation industry. Journal of Business Economics and Management, 23(2), 284–304. https://doi.org/10.3846/jbem.2022.16094
IATA, (2017). The future of the airline industry’ (Report), (https://www.iata.org/policy/Documents/aiata-future-airline-industry.pdf, (Date of Access: 14.05.2018).
Kalmanbetova, M., (2010). Hisse senedi fiyatları ve makroekonomik değişkenler arasındaki nedensellik ve 2004-2009 yılları arasında Türkiye uygulaması, Yayımlanmamış yüksek lisans tezi, İstanbul Üniversitesi, İstanbul.
Kang, W., Gracia, F. P. and Ratti, R. A. (2021) Economic uncertainty, oil prices, hedging and U.S. stock returns of the airline industry, North American Journal of Economics and Finance, 57. 1-15. https://doi.org/10.1016/j.najef.2021.101388
Korkmaz, T. and Ceylan, A., (2018). İşletmelerde finansal yönetim, 14. Basım. Ekin Basım Yayın.
Kristjanpoller, W. D., & Concha, D., (2016). Impact of fuel price fluctuations on airline stock returns. Applied Energy, 178, 496–504. https://doi.org/10.1016/j.apenergy.2016.06.089
Loudon, G.F., (2004). Financial risk exposures in the airline industry: Evidence from Australia and New Zealand’, Australian Journal of Management, Volume 29 (2), pp. 295-316. https://doi.org/10.1177/031289620402900208
Morrell, P. and Swan, W., (2006). Airline jet fuel hedging: Theory and practice, Transport Reviews, Vol.26/3, pp. 719-730. https://doi.org/10.1080/01441640600679524
Morrell, P. S., (2007). Airline Finance, Third Edition. Ashgate Publishing Limited. England.
Nandha, M., & Brooks, R., (2009). Oil prices and transport sector returns: An international analysis. Review of Quantitative Finance and Accounting, 33, 393–409. https://doi.org/10.1007/s11156-009-0120-4
Narayan, P. K., & Sharma, S. S., (2011). New evidence on oil price and firm returns. Journal of Banking and Finance, 35, 3253–3262. https://doi.org/10.1016/j.jbankfin.2011.05.010
Puncreobutr, V. and Sowaros, T., (2016). Risk factors affecting the low cost carriers industry of ASEAN, Online available at: https://ssrn.com/abstract=2771515, (Date of Access: 10.05.2018). https://doi.org/10.2139/ssrn.2771515
Pyke, D. and Sibdari, S., (2018). Risk Management in the Airline Industry, Stephen Gong and Kevin Cullinane (Editors). Finance and Risk Management for International Logistics and the Supply Chain. 293-315. Elsevier.
Samunderu, E., Perret, J. K. and Geller, G., (2023) The economic value rationale of fuel hedging: An empirical perspective from the global airline industry, Journal of Air Transport Management, 106. 1-12. https://doi.org/10.1016/j.jairtraman.2022.102324
Sayılgan, G. ve Süslü, C., (2011). Makroekonomik faktörlerin hisse senedi getirilerine etkisi: Türkiye ve gelişmekte olan piyasalar üzerine bir inceleme, BDDK Bankacılık ve Finansal Piyasalar, 5(1), 73-96.
Tandoğan, D. ve Genç, M. C., (2016). Türkiye'de turizm ve ticari açıklık arasındaki ilişki: Toda ve Yamamoto nedensellik yaklaşımı, International Journal of Economic & Social Research, 12(1), 59-70. https://doi.org/10.17123/atad.656018
Thorbecke, Willem. 2020. The Impact of the COVID-19 Pandemic on the U.S. Economy: Evidence from the Stock Market. Journal of Risk and Financial Management 13: 233. https://doi.org/10.3390/jrfm13100233
Toda, H. Y. ve Yamamoto, T., (1995). Statistical inference in vector autoregressions with possibly integrated processes, Journal of Econometrics, 66(1), pp. 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
Treanor, S. D., Simkins B. J., Rogers, D. A. and Carter, D. A., (2014). Does operational and financial hedging reduce exposure? Evidence from the U.S. airline industry, The Financial Review, Vol 49, pp. 149-172. https://doi.org/10.1111/fire.12029
Tsai, B.MC., (2008). Financial risk exposures in the airline industry – Case of South African Airlines, Master Thesis, University of Cape Town, Department of Accounting, South Africa.
Vasigh B. Fleming K. ve Humphreys, B., (2015). Foundations of Airline Finance – Methodology and practice. Second edition. Routledge. ABD.
Vasigh B. Fleming, K. ve Tacker, T., (2013). Introduction to Air Transport EconomicsFrom Theory to Applications. Second Edition. Ashgate Publishing Limited. England.
Wang, H. and Gao, X., (2020) Oil price dynamics and airline earnings predictability, Journal of Air Transport Management, 87. 1-15. https://doi.org/10.1016/j.jairtraman.2020.101854
Yashodha, Y., Abdulhamid and B. Habibullah, M.S., (2016). Financial risk exposures of the airline industry: Evidence from Cathay Pacific Airways and China Airlines, International Journal of Business and Society, Vol. 17 (2), pp. 221-244. https://doi.org/10.33736/ijbs.522.2016
Yılancı, V. ve Bozoklu, S., (2014). Türk sermaye piyasasında fiyat ve işlem hacmi ilişkisi: Zamanla değişen asimetrik nedensellik analizi, Ege Akademik Bakış, 14(2), 2-11. https://doi.org/10.21121/eab.2014218052
Yılmaz, Ö., Güngör, B. ve Kaya, V., (2006). Hisse Senedi Fiyatları ve Makroekonomik Değişkenler Arasındaki Eşbütünleşme ve Nedensellik, İMKB Dergisi, 9(34), 1-16.
Zea, M., (2002). Is airline risk manageable?. Airline Business, April. https://www.flightglobal.com/is-airline-risk-manageable/42105.article
Descargas
Publicado
Cómo citar
Número
Sección
Licencia
Derechos de autor 2023 ANDULI. Revista Andaluza de Ciencias Sociales
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.
Las ediciones impresa y electrónica de esta Revista son editadas por el Editorial Universidad de Sevilla, siendo necesario citar la procedencia en cualquier reproducción parcial o total.
Salvo indicación contraria, todos los contenidos de la edición electrónica se distribuyen bajo una licencia de uso y distribución “Creative Commons Atribución-NoComercial-SinDerivar 4.0 Internacional” 
. Puede consultar desde aquí la versión informativa y el texto legal de la licencia. Esta circunstancia ha de hacerse constar expresamente de esta forma cuando sea necesario.
Los autores/as que publiquen en esta revista aceptan las siguientes condiciones:
- Los autores/as conservan los derechos de autor y ceden a la revista el derecho de la primera publicación, con el trabajo registrado con la licencia de atribución de Creative Commons, que permite a terceros utilizar lo publicado siempre que mencionen la autoría del trabajo y a la primera publicación en esta revista.
- Los autores/as pueden realizar otros acuerdos contractuales independientes y adicionales para la distribución no exclusiva de la versión del artículo publicado en esta revista (p. ej., incluirlo en un repositorio institucional o publicarlo en un libro) siempre que indiquen claramente que el trabajo se publicó por primera vez en esta revista.
- Se permite y recomienda a los autores/as a publicar su trabajo en Internet (por ejemplo en páginas institucionales o personales) antes y durante el proceso de revisión y publicación, ya que puede conducir a intercambios productivos y a una mayor y más rápida difusión del trabajo publicado (vea The Effect of Open Access).
