CAUSALITY BETWEEN DOW JONES TRANSPORTATION INDEX, CPI TRANSPORTATION INDEX AND TRANSPORTATION SERVICES INDEX

Authors : Mehmet Aldonat BEYZATLAR

Pages : 1-4

Doi:10.17261/Pressacademia.2018.969

View : 17 | Download : 8

Publication Date : 2018-12-30

Article Type : Research Paper

Abstract :Purpose - The purpose of this study is to bridge stock index, consumer price index, and services index in transportation sector. This paper provides an empirical evaluation of causal relations between transportation measures and their financial side as a pioneering study. Methodology - This study uses monthly data for our research exercise including United States for twenty-one years, from January 2000 until June 2018. The variable of interest include Dow Jones Transportation Stock Index insert ignore into journalissuearticles values(DJT);, Consumer Price Index: Transportation insert ignore into journalissuearticles values(CPIT);, and Transportation Services Index insert ignore into journalissuearticles values(TSI);. Findings- The results indicate that the causality relations are bi-directional between all variables insert ignore into journalissuearticles values(i); DJT and TSI, insert ignore into journalissuearticles values(ii); DJT and CPIT, and insert ignore into journalissuearticles values(iii); TSI and CPIT. Conclusion- In this paper, it is argued that the determination of a causal link between transportation measures and their financial side, and the nature of Granger-causality may have an important policy implication for policy makers, portfolio investors, and actors in transportation sector. The strong tendency to show bi-directional Granger-causality running between variables indicates the potentially important role of transportation in stimulating finance and vice versa.
Keywords : Transportation Services Index, Consumer Price Index, Dow Jones Transportation Index, Causality, United States, Grangercausality