The impact of COVID-19 on the volatility connectedness of the Chinese tourism sector

Yang Hu, Chunlin Lang, Shaen Corbet and Junchuan Wang

Research in International Business and Finance, 2024, vol. 68, issue C

Abstract: This paper investigates the dynamic behaviour of the volatility connectedness of COVID-19-related stock indices on Chinese tourism sub-sectors using a novel TVP-VAR frequency approach of Chatziantoniou et al. (2021). Our empirical results show that COVID-19 affects all six examined tourism sub-sectors, but the volatility transmissions between COVID-19 and each tourism sector are not uniform. Different waves of COVID-19 have contributed to time-varying changes of volatility connectedness to all tourism sectors. Our results will be of great interest and importance to policymakers and investors, who will better understand developments in China’s tourism sectors under extreme financial shocks and learn how to better manage risk considering potential future epidemics and pandemics.

Keywords: COVID-19; China; Tourism; TVP-VAR; Stock markets (search for similar items in EconPapers)
JEL-codes: G1 G12 G14 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003185

DOI: 10.1016/j.ribaf.2023.102192

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