Factors Affect Tourism Stock Price in Indonesia

Abstract

The study aims to examine which factors affect the tourism stock price more. The study uses weekly exchange rate and tourism stock prices; the inflation, interest rate, and the number of tourism use monthly data. Using descriptive statistics, correlation matrix, augmented Dickey Fuller's unit root test, VAR, the Granger causality test, and Impulse Response. The results show that all the variables in our observations have no causal relationship. Interest rates do not have a causal relationship with exchange rates, inflation, number of tourists, and tourism stock prices. The VAR models show interest rate has a negative impact on tourism stock price, exchange rate, and the number of tourists positively impacting tourism stock price. Inflation has no impact on tourism stock price. A decrease in interest rates will encourage investment to develop a business. A decrease in the IDR exchange rate against the USD will lower the product's price, so foreign tourists will feel that Indonesian goods are getting cheaper; thus, they will spend more and increase the tourism company's share price. Regulators can use the research results by lowering and maintaining the stability of interest rates, exchange rates, inflation, and increasing the number of tourists to Indonesia.

Inflation, exchange rate, and stock return: The evidence from the LQ45 index constituents in Indonesia

“…To realize this intention, they sold the stocks on the capital market, leading to a cut in market price. With this negative propensity, this study affirms Goh et al (2022), documenting the negative effect of IDR/USD on the stock return of Indonesian tourism firms.…”

“…Regarding the association between inflation and stock return, the previous studies still demonstrate a positive sign (Ali et al, 2023;Dudesy et al, 2018;Ekadjaja & Dianasari, 2017) and a negative mark (Dudesy et al, 2018;Eldomiaty et al, 2020), and no evidence (Ali et al, 2023;Goh et al, 2022;Mayasari, 2021). Similarly, the relationship between exchange rate and stock return is also contradictory, as evidenced by the studies proving a positive mark (Adebowale & Akosile, 2018;Amarkhil et al, 2021;Ekadjaja & Dianasari, 2017) and a negative sign (Goh et al, 2022). Based on the incompatible evidence, this study intends to examine and analyze the effect of inflation and exchange rate on the return of the stocks selected as the LQ45 index in the Indonesian capital market from 2016 to 2022.…”

“…The LQ45 index fluctuation stimulates this study to investigate the determinants of the stock return of its constituents. Denoting the previous research, the related scholars try to associate this return with economic factors, such as inflation (Ali et al, 2023;Dudesy et al, 2018;Ekadjaja & Dianasari, 2017;Eldomiaty et al, 2020;Goh et al, 2022) and exchange rate (Adebowale & Akosile, 2018;Amarkhil et al, 2021;Ekadjaja & Dianasari, 2017;Goh et al, 2022;Mayasari, 2021). However, no consensus is reachable.…”