Volatility spillovers among major tourism stock indices during Covid-19 pandemic
Bibliographic Data
| ID | 21699893 |
|---|---|
| Authors | Oubayda El Rifai (0000-0002-0226-0493, Eastern Mediterranean University, corresponding author), Nesrin Özataç (Eastern Mediterranean University), Nigar Taspinar (0000-0003-3012-4920, Eastern Mediterranean University) |
| Year | 2023 |
| Volume | 26 |
| Issue | 13 |
| Pages | 2075-2082 |
| Publication date | 2023-07-03 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Current Issues in Tourism (JOURNAL) |
| Journal identifiers | ISSN: 1368-3500 • E-ISSN: 1747-7603 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/13683500.2022.2153015 |
| OpenAlex | W4311853724 |
| Language | EN |
| Citations received | 4 |
| References cited | 33 |
This paper examines the dynamics of volatility spillovers among five major tourism stock indices during the Covid-19 period. Our paper enriches the current literature as it is the first paper to investigate the volatility spillovers among major global tourism stock indices by adopting Diebold and Yilmaz (2012. Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. ), and Barunik and Krehlik (2018 Barunik, J., & Krehlik, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271–296. https://doi.org/10.1093/jjfinec/nby001[Crossref], [Web of Science ®] , [Google Scholar]. Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. Journal of Financial Econometrics, 16(2), 271–296.) time and frequency domain methods. Results suggest that total spillovers of the tourism stock indices rose significantly during the pandemic. Turkey and Italy are net volatility spillover transmitters, and others are net volatility spillover receivers. Findings of this study also indicates that the effect of volatility transmission among tourism stock markets is temporary (short-lasting). The results suggest that short-term investors and portfolio managers should avoid investing in the tourism indices in the short term
Econometrics · Economics · Financial economics · Geography · Macroeconomics · Monetary economics · Social connectedness · Spillover effect · Stock market · Stock market index · Tourism · COVID-19 Pandemic Impacts · Diverse Aspects of Tourism Research · Market Dynamics and Volatility
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Better to give than to receive
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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
| Unique citing works | 4 |
|---|---|
| Citations per year | 2 |
| Citation span | 2024 - 2026 (3) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 4 |