Macroeconomic influence on the hotel stock returns

Abstract

[eng] In this paper, we investigate the relationship between macro variables and hospitality stock prices based on the VAR model in three European countries, which are Spain, France and the UK. We are using the data in period from 2000 to 2019 to examine the different impact from the different countries’ macro variables on the changes of the hotel stock prices in one country. The variables we include in this paper are interest rate (IR), money supply (M1), unemployment rate (UNR), consumer price index (CPI), exchange rate (ER), oil price (OP), tourist arrivals (TA), industrial production (IP). Contrary to the existing research, we focus on the three countries simultaneously allowing macro variables of one country to have an effect on the other countries’ hotel stock returns. By using a Vector Autoregressive Model, we found that one country's hotel stock prices are not only influenced by its own macro factors but are also significantly influenced by macro variables in other countries.