Oil prices, policy uncertainty and travel and leisure stocks in China

Yun Qin, Jinyu Chen and Xuesong Dong

Energy Economics, 2021, vol. 96, issue C

Abstract: By utilizing the time-varying parameter vector autoregressive (TVP-VAR) model, we investigate the time-varying effects of oil price shocks and policy uncertainty on travel and leisure stocks from January 2000 to December 2018 in China. The results suggest that the impacts of oil price shocks on travel and leisure stock returns are mainly positive, which support the market inertia theory. However, the effects of policy uncertainty on travel and leisure stock returns fluctuate between positive and negative. Furthermore, the impacts of oil price shocks and policy uncertainty vary significantly across different sub-industries. For classified travel and leisure stocks, oil price shocks and policy uncertainty both have the greatest influences on scenic spot stock returns. Among classified policy uncertainty, the influences of trade policy uncertainty on travel and leisure stocks are the most significant.

Keywords: Oil price shocks; Policy uncertainty; Travel and leisure stocks; Time-varying effect; TVP-VAR model (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000177

DOI: 10.1016/j.eneco.2021.105112

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