Financial risk exposures of the airlines industry: evidence from Cathay Pacific Airways and China Airlines
This study explores the long run and dynamic relationships between the stock price of Cathay Pacific Airways and China Airlines against key determinants of financial risks exposure confronting the airline industry, which include interest-rate, exchange rate and fuel price risk exposures for the peri...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Faculty of Economics and Business, Universiti Malaysia Sarawak
2016
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| Online Access: | http://psasir.upm.edu.my/id/eprint/54318/ http://psasir.upm.edu.my/id/eprint/54318/1/Financial%20risk%20exposures%20of%20the%20airlines%20industry.pdf |
| _version_ | 1848852512108445696 |
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| author | Yashodha, Yasmin Abdul Hamid, Baharom Habibullah, Muzafar Shah |
| author_facet | Yashodha, Yasmin Abdul Hamid, Baharom Habibullah, Muzafar Shah |
| author_sort | Yashodha, Yasmin |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This study explores the long run and dynamic relationships between the stock price of Cathay Pacific Airways and China Airlines against key determinants of financial risks exposure confronting the airline industry, which include interest-rate, exchange rate and fuel price risk exposures for the period of January 1996 to December 2011. The (Johansen & Juselius, 1990)cointegration technique was employed to detect any long time trending relationship followed Vector Error Correction Model (VECM) and Vector Auto-Regression (VAR). The generalised forecast error variance decomposition and the generalised impulse response function were employed to comprehend the effects of theses financial risk exposures. Our empirical results suggest that exchange rate movements have a substantial impact, compared to the fuel price and interest rate exposures against the stock price of the analysed airline. Our findings play a pertinent role in the determination of the respective airlines foreign vulnerability and financial policies which would be helpful for industry players and policy makers from a financial stability perspective. |
| first_indexed | 2025-11-15T10:39:15Z |
| format | Article |
| id | upm-54318 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T10:39:15Z |
| publishDate | 2016 |
| publisher | Faculty of Economics and Business, Universiti Malaysia Sarawak |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-543182018-03-13T04:58:04Z http://psasir.upm.edu.my/id/eprint/54318/ Financial risk exposures of the airlines industry: evidence from Cathay Pacific Airways and China Airlines Yashodha, Yasmin Abdul Hamid, Baharom Habibullah, Muzafar Shah This study explores the long run and dynamic relationships between the stock price of Cathay Pacific Airways and China Airlines against key determinants of financial risks exposure confronting the airline industry, which include interest-rate, exchange rate and fuel price risk exposures for the period of January 1996 to December 2011. The (Johansen & Juselius, 1990)cointegration technique was employed to detect any long time trending relationship followed Vector Error Correction Model (VECM) and Vector Auto-Regression (VAR). The generalised forecast error variance decomposition and the generalised impulse response function were employed to comprehend the effects of theses financial risk exposures. Our empirical results suggest that exchange rate movements have a substantial impact, compared to the fuel price and interest rate exposures against the stock price of the analysed airline. Our findings play a pertinent role in the determination of the respective airlines foreign vulnerability and financial policies which would be helpful for industry players and policy makers from a financial stability perspective. Faculty of Economics and Business, Universiti Malaysia Sarawak 2016 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/54318/1/Financial%20risk%20exposures%20of%20the%20airlines%20industry.pdf Yashodha, Yasmin and Abdul Hamid, Baharom and Habibullah, Muzafar Shah (2016) Financial risk exposures of the airlines industry: evidence from Cathay Pacific Airways and China Airlines. International Journal of Business and Society, 17 (2). pp. 221-244. ISSN 1511-6670 http://www.ijbs.unimas.my/index.php/content-abstract/current-issue/283-financial-risk-exposures-of-the-airlines-industry-evidence-from-cathay-pacific-airways-and-china-airlines Airline; Stock price; VECM; VAR; IRF |
| spellingShingle | Airline; Stock price; VECM; VAR; IRF Yashodha, Yasmin Abdul Hamid, Baharom Habibullah, Muzafar Shah Financial risk exposures of the airlines industry: evidence from Cathay Pacific Airways and China Airlines |
| title | Financial risk exposures of the airlines industry: evidence from Cathay Pacific Airways and China Airlines |
| title_full | Financial risk exposures of the airlines industry: evidence from Cathay Pacific Airways and China Airlines |
| title_fullStr | Financial risk exposures of the airlines industry: evidence from Cathay Pacific Airways and China Airlines |
| title_full_unstemmed | Financial risk exposures of the airlines industry: evidence from Cathay Pacific Airways and China Airlines |
| title_short | Financial risk exposures of the airlines industry: evidence from Cathay Pacific Airways and China Airlines |
| title_sort | financial risk exposures of the airlines industry: evidence from cathay pacific airways and china airlines |
| topic | Airline; Stock price; VECM; VAR; IRF |
| url | http://psasir.upm.edu.my/id/eprint/54318/ http://psasir.upm.edu.my/id/eprint/54318/ http://psasir.upm.edu.my/id/eprint/54318/1/Financial%20risk%20exposures%20of%20the%20airlines%20industry.pdf |