Extreme risk connection among the European Tourism, energy and carbon emission markets

Hongjun Zeng, Mohammad Zoynul Abedin, Abdullahi D. Ahmed and Qingcheng Huang

Research in International Business and Finance, 2025, vol. 74, issue C

Abstract: This article presents a novel examination of the risk connectedness patterns and causality relationships between European Tourism and the Energy and Carbon Emissions Market. The findings indicate that the risk connectedness between European Tourism and the Energy and Carbon Emissions Market exhibits asymmetric characteristics, displaying weaker connectedness in median and high states compared to normal market conditions. Notably, connectedness is more pronounced in extreme tail cases. Additionally, the European Tourism Sector Index is less susceptible to risks in the European Energy and Carbon Emissions market during bear markets. Furthermore, Rotterdam Coal Futures and Dutch TTF Natural Gas Futures contribute significantly to the volatility connectedness of the European Tourism Sector Index. The findings of the quantile Granger causality test confirmed the existence of causality between the European Tourism Index and the European Energy and Carbon Markets across all market states.

Keywords: European tourism sector index; European energy and carbon emissions market; Quantile connectedness; Risk spillover; Quantile granger causality (search for similar items in EconPapers)
JEL-codes: C54 G15 G32 Q43 Z32 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004860

DOI: 10.1016/j.ribaf.2024.102693

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