Macroeconomic Influences On Japanese Hotel Stock Returns

This study investigates the influences of macroeconomic factors on hotel stock returns in Japan using a 30-year data period. In addition to the macroeconomic variables commonly used in previous studies (i.e., changes in discount rate [DSCHG], growth rates of money supply [Delta MS], changes in unemployment rate [UPCHG], growth rates of consumer price index [Delta CPI], and industrial production [Delta IP]), we also include the percentage change in yen-dollar exchange rate (Delta EXCH), the percentage change in oil price (Delta OILP), and growth rates of total trade (Delta TTR) as critical explanatory factors of Japanese hotel stock returns. This study uses the Granger causality procedure based on the vector autoregression model. Test results indicate that economic variables DSCHG, UPCHG, and Delta OILP could significantly cause Japanese hotel stock returns and serve as significant determinants of Japanese hotel stock returns.