Returns spillovers between tourism ETFs

Shu-Lien Chang and Yun-Huan Lee

The North American Journal of Economics and Finance, 2019, vol. 50, issue C

Abstract: This paper investigates the relationship between tourism-related markets and equity, consumer staples equities and consumer discretionary equities by means of spillovers and volatility transmission. Relying on the recently introduced Exchange Traded Founds (ETFs), this study is the first to analyze return spillovers derived from an E-GARCH model and to take into account frequency dynamics to understand changes in connectedness across periods of time. The results uncover numerous channels of return transmission across the selected ETF markets over the last 13 years and highlight the role of equity ETFs as the most influential market in the sample. Furthermore, the study provides insights into the characteristics of tourism-related markets using a hidden semi-Markov model. Finally, we prove that tourism-related markets (except casino and gaming) have gained importance as investment assets over the last few years.

Keywords: Spillover; ETF; GARCH; Tourism (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305898

DOI: 10.1016/j.najef.2019.04.020

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