Geopolitical risks and tourism stocks: New evidence from causality-in-quantile approach

Ibrahim D. Raheem and Sara le Roux

The Quarterly Review of Economics and Finance, 2023, vol. 88, issue C, 1-7

Abstract: This study examines the relationship between Geopolitical Risks (GPR) and Travel and Leisure (T&L) stocks. The scope of this study is based on six emerging countries. Analyses are done using a non-parametric causality-in-quantile approach, whose advantages include: (i) robustness to misspecification errors; (ii) simultaneously examine causality in mean and variance. We find that GPR is weakly related to the T&L stock for both Indonesia and South Korea. However, significant relationships ensue for India, China, Malaysia, and Israel. It is also observed that GPR can better predict the volatility of T&L stock compared to stock returns. These results are robust to alternative measures of GPR.

Keywords: Geopolitical risks; Tourism; Quantile causality (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:88:y:2023:i:c:p:1-7

DOI: 10.1016/j.qref.2023.01.002

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