Global and domestic economic policy uncertainties and tourism stock market: Evidence from China

Liu, Han; Yang, Peng; Song, Haiyan; Wu, Doris Chenguang

doi:10.1177/13548166231173171

Cited by 10 publications

(3 citation statements)

References 99 publications

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“…The estimation of model coefficients oriented by a GARCH model gives us the estimated data with the following Table 5, where a is the true value of model (32), â is its estimators, and ns represents the number of simulations It can be observed that estimators of variable values in the bilinear model, as defined by its expression, yield efficient results when driven by Symmetric GARCH compared to Asymmetric GARCH, indicating that symmetry plays a crucial role in enhancing the accuracy of estimation for the proposed model [19][20][21][22][23][24][25].…”

Section: Asymmetric and Symmetric Garch Modelsmentioning

confidence: 99%

Comparative Analysis of Bilinear Time Series Models with Time-Varying and Symmetric GARCH Coefficients: Estimation and Simulation

Abu Hammad,

Alkhateeb,

Laiche

et al. 2024

Symmetry

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This paper makes a significant contribution by focusing on estimating the coefficients of a sample of non-linear time series, a subject well-established in the statistical literature, using bilinear time series. Specifically, this study delves into a subset of bilinear models where Generalized Autoregressive Conditional Heteroscedastic (GARCH) models serve as the white noise component. The methodology involves applying the Klimko–Nilsen theorem, which plays a crucial role in extracting the asymptotic behavior of the estimators. In this context, the Generalized Autoregressive Conditional Heteroscedastic model of order (1,1) noted that the GARCH (1,1) model is defined as the white noise for the coefficients of the example models. Notably, this GARCH model satisfies the condition of having time-varying coefficients. This study meticulously outlines the essential stationarity conditions required for these models. The estimation of coefficients is accomplished by applying the least squares method. One of the key contributions lies in utilizing the fundamental theorem of Klimko and Nilsen, to prove the asymptotic behavior of the estimators, particularly how they vary with changes in the sample size. This paper illuminates the impact of estimators and their approximations based on varying sample sizes. Extending our study to include the estimation of bilinear models alongside GARCH and GARCH symmetric coefficients adds depth to our analysis and provides valuable insights into modeling financial time series data. Furthermore, this study sheds light on the influence of the GARCH white noise trace on the estimation of model coefficients. The results establish a clear connection between the model characteristics and the nature of the white noise, contributing to a more profound understanding of the relationship between these elements.

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Section: Asymmetric and Symmetric Garch Modelsmentioning

confidence: 99%

Comparative Analysis of Bilinear Time Series Models with Time-Varying and Symmetric GARCH Coefficients: Estimation and Simulation

Abu Hammad,

Alkhateeb,

Laiche

et al. 2024

Symmetry

View full text Add to dashboard Cite

show abstract

“…Recent studies by Peng et al (2023) and Ismail et al (2023) analyzed stock performance, offering valuable insights for investors. Understanding the nexus between tourism and capital markets requires considering macroeconomic factors (Liu et al 2023;Shirkhani et al 2021). Sanford and Dong (2000) linked tourism to foreign investment, while Chen et al (2010) explored the influence of monetary policy shifts on hospitality companies' stock performance.…”

Section: Analyzing the Impact Of Tourism On Financial Marketsmentioning

confidence: 99%

“…This hypothesis is grounded in the recognition that stock market dynamics are intertwined with broader macroeconomic conditions. As highlighted by literature such as Liu et al (2023) and Sanford and Dong (2000), macroeconomic factors like GDP growth play a pivotal role in shaping the relationship between tourism, capital markets, and stock indices. Considering Airbnb's substantial economic impact, the hypothesis proposes that macroeconomic variables will likely shape the performance of stock indices in the travel, tourism, and real estate sectors, specifically around the time of Airbnb announcements.…”

Section: Rationale For Hypothesismentioning

confidence: 99%

The Influence of Airbnb Announcements on North American Capital Markets: Insights for Stakeholders

Tavor

2024

IJFS

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This research investigates the burgeoning peer-to-peer (P2P) economy, exemplified by platforms such as Airbnb, and its implications within the North American context. The study focuses on understanding the repercussions of Airbnb announcements on capital markets, concentrating specifically on the travel and tourism sector and the real estate sector. The findings unveil a discernible augmentation in index returns preceding the announcement’s publication in both sectors. However, a notable divergence manifests post-announcement: while the real estate sector sustains an upward trajectory in returns, the travel and tourism sector experiences a post-publication decline. These results underscore the strategic advantage available to investors with early access to Airbnb announcements, enabling them to capitalize on excess profits. Furthermore, the broader investor community can leverage the insights gleaned from Airbnb announcements for financial gains. A nuanced examination of regression results reveals the substantial impact of macroeconomic variables on index returns in both the travel and tourism sector and the real estate sector. These insights contribute to a more nuanced understanding of the intricate dynamics shaping these economic domains.

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Economic policy uncertainty and remittances: mediating role of foreign exchange rate

Bin Khidmat,

Rafique,

Umar

2024

Econ Change Restruct

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Global and domestic economic policy uncertainties and tourism stock market: Evidence from China

Cited by 10 publications

References 99 publications

Comparative Analysis of Bilinear Time Series Models with Time-Varying and Symmetric GARCH Coefficients: Estimation and Simulation

Comparative Analysis of Bilinear Time Series Models with Time-Varying and Symmetric GARCH Coefficients: Estimation and Simulation

The Influence of Airbnb Announcements on North American Capital Markets: Insights for Stakeholders

Economic policy uncertainty and remittances: mediating role of foreign exchange rate

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