Preliminary communication
https://doi.org/10.62366/crebss.2025.2.002
Does the CROBEXturist stock index predict changes in the Croatian tourism market?
Klementina Kovačić
; PricewaterhouseCoopers Savjetovanje d.o.o., Zagreb, Croatia
*
Mirjana Čišmešija
; University of Zagreb, Faculty of Economics and Business, Croatia
* Corresponding author.
Abstract
The analysis of the relationship between the CROBEXturist index and the number of tourist arrivals examines the potential of financial markets for predicting the tourist season in Croatia. Accordingly, the main research objective is to determine whether CROBEXturist is a significant predictor of the tourist season in Croatia in the upcoming period of up to one year. The empirical research was conducted by analyzing the relationship between the monthly number of tourist arrivals and the monthly mean values of the CROBEXturist index in the period from January 2014 to November 2024. The Granger causality test determined that changes in the CROBEXturist index statistically significantly predict tourist arrivals with time lags of 5, 10 and 11 months, which indicates the medium--term and long--term predictive power of this index. Various ARIMAX, SARIMA and SARIMAX models were estimated, of which, taking into account the smallest forecast error, the SARIMAX model with a lag of five months as an exogenous variable proved to be the most representative. Empirical confirmation of the CROBEXturist index predictive power is the key scientific contribution of the paper and enables to understand the relation between financial markets and the real sector in Croatia. The research confirmed that investors are very good at predicting tourism movements and that the capital market is a reliable source of signals for tourism companies about upcoming trends in the tourism market.
Keywords
ROBEXturist index; financial markets; tourism forecasting; SARIMAX model; tourist arrivals
Hrčak ID:
342028
URI
Publication date:
22.12.2025.
Visits: 407 *