Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, Neophytos; McAleer, Michael

doi:10.2991/icefs-17.2017.5

Cited by 2 publications

(1 citation statement)

References 29 publications

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“…Given relevant arguments as presented in the motivation, geopolitical uncertainties such as terrorism (for instance, the 9/11 terror attack), war and political tensions that limit travels, hotel occupancy and tourism demand affect the performance of the T&L stock returns industry (see Neiman and Swagel, 2009; Chang and Zeng, 2011; Kim and Marcouiller, 2015; Dragouni et al. , 2016; Demir and Gozgor, 2018; Zopiatis et al. , 2018; Demiralay and Kilincarslan, 2019).…”

Section: Resultsmentioning

confidence: 99%

Uncertainty due to pandemics and epidemics and the behavior of Travel & Leisure stocks in the UK, the USA and Europe

Salisu¹,

Tchankam

2022

JRF

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PurposeThe purpose of this paper is to examine the response of Travel & Leisure (T&L) stocks of some advanced economies (the USA and United Kingdom) as well as Europe to uncertainty due to pandemics and epidemics. The motivation for the study is derived from the expectation that pandemics and epidemics which are infectious would limit activities and events that require physical interactions such as those associated with T&L, and therefore, returns on related investments may decline during this period.Design/methodology/approachThe authors formulate a model in line with Westerlund and Narayan (2012, 2015) where uncertainty due to infectious diseases is included as a predictor in the valuation of T&L stocks while also controlling for endogeneity bias (for omitted variables bias), conditional heteroscedasticity effect (typical of high frequency data) and persistence (typical of most financial and economic time series).FindingsThe authors’ results suggest that contrary to the negative impact of previous cases of pandemics and epidemics on the T&L stocks, the behavior of these stocks during COVID-19 pandemic is modest owing to the positive nexus between equity market volatility due to infectious diseases (EMV-ID) (our proxy for pandemics and epidemics) and the T&L returns during the COVID-19 period. The authors maintain that investors in this market need not panic as the market tends to be resilient to pandemics over time albeit with a lower resilience during daily trading. The results leading to this conclusion are robust to alternative measures of the COVID-19 pandemic.Originality/valueThe peculiarity of this paper on T&L stocks is premised on the introduction of the new datasets for infectious diseases, and the need to include the COVID-19 pandemic given its peculiarity. Essentially, we utilize the Baker et al. (2020) dataset which captures all the pandemics including COVID-19 and a complementary dataset on the COVID-19 pandemic using an alternative approach.

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Section: Resultsmentioning

confidence: 99%

Uncertainty due to pandemics and epidemics and the behavior of Travel & Leisure stocks in the UK, the USA and Europe

Salisu¹,

Tchankam

2022

JRF

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Pandemic or panic? A firm-level study on the psychological and industrial impacts of COVID-19 on the Chinese stock market

Wang

Liu

2022

Financ Innov

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This study presents a thorough investigation of the relationship between the coronavirus disease 2019 (COVID-19) and daily stock price changes. We use several types of COVID-19 patients as indicators for exploring whether stock prices are significantly affected by COVID-19’s impact. In addition, using the Chinese stock market as an example, we are particularly interested in the psychological and industrial impacts of COVID-19 on the financial market. This study makes two contributions to the literature. First, from a theoretical perspective, it shows a novel quantitative relationship between the psychological response to the pandemic and stock prices. In addition, it depicts the mechanism of the shock to the stock market by pointing out the specific functional expression of the impulse reaction. To our knowledge, this is the first theoretical calculation of the impulse of a shock to the financial market. Second, this study empirically estimates the marginal effect of the COVID-19 pandemic on fluctuations in stock market returns. By controlling for stock fundamentals, this study also estimates diverse industrial responses to pandemic stock volatility. We confirm that the COVID-19 pandemic has caused panic in the stock market, which not only depresses stock prices but also inflates volatility in daily returns. Regarding the impulse of the shock, we identify the cumulative level of the pandemic variables as well as their incremental differences. As shown by our empirical results, the terms for these differences will eventually dominate the marginal effect, which confirms the fading impulse of the shock. Finally, this study highlights some important policy implications of stock market volatility and returns to work in the industry.

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Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Cited by 2 publications

References 29 publications

Uncertainty due to pandemics and epidemics and the behavior of Travel & Leisure stocks in the UK, the USA and Europe

Uncertainty due to pandemics and epidemics and the behavior of Travel & Leisure stocks in the UK, the USA and Europe

Pandemic or panic? A firm-level study on the psychological and industrial impacts of COVID-19 on the Chinese stock market

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