Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/10984
Title: Do macroeconomic variables contain any useful information for predicting changes in hospitality stock indices?
Authors: Wong, KKF
Song, H 
Keywords: Autoregressive
Forecast error variance
Impulse response
Innovation
Stock indices
Issue Date: 2006
Publisher: SAGE Publications
Source: Journal of hospitality and tourism research, 2006, v. 30, no. 1, p. 16-33 How to cite?
Journal: Journal of hospitality and tourism research 
Abstract: This article examines the relationship between macroeconomic and the hospitality stock variables using the vector autoregressive (VAR) modeling approach. The empirical results based on the U.S. data show that the hospitality stock indices largely follow an autoregressive process, and they are not entirely independent from some key macroeconomic variables. Specifically, the BOND variable explains a substantial proportion of the forecast error variance among the stock indices for restaurants, lodging, and casinos. The consumer price index, money supply, and industrial production variables, however, provide a relatively smaller contribution toward explaining the forecast error variance in these hospitality stock indices.
URI: http://hdl.handle.net/10397/10984
ISSN: 1096-3480
EISSN: 1557-7554
DOI: 10.1177/1096348005284267
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