COVID-19, firm characteristics and stock volatility: new evidence from the Indian tourism sector

Rupika Khanna, Chandan Sharma and Abhay Pant

International Journal of Emerging Markets, 2022, vol. 19, issue 6, 1563-1585

Abstract: Purpose - This paper provides new evidence on Indian tourism firms by investigating the role of a firm's financial conditions typified by its leverage, earnings, size, cash holdings, and excess cash in moderating the pandemic-led idiosyncratic volatility in its stock prices. Design/methodology/approach - The authors employ a firm-level panel comprising 82 publicly-listed tourism firms from India. Firm risk is estimated for the period beginning January 2020 to December 2020. Findings - This paper finds non-linear effects of the pandemic on the idiosyncratic risk of the sample firms. Precisely, stock price volatility rises, but as the market absorbs this information, volatility subsides even as the disease spreads further. Further, lower levels of past debt and earnings and higher cash holdings ameliorate the pandemic's effects on tourism firms' risk. Contrasting the view that “excess” cash reflects poor operational performance, we show that “excess” cash firms are better prepared to face the adverse effects of the pandemic. Research limitations/implications - This study’s sample period fully encompasses the first wave of the pandemic (January–December 2020) of the novel coronavirus infection spread. Originality/value - To the best of the authors’ knowledge, this is the first study to assess the moderating effects of company fundamentals on the risk of Indian tourism firms. In doing so, the authors account for non-linear effects of the pandemic on firms' idiosyncratic volatility over time.

Keywords: Financials; Cash holdings; Idiosyncratic risk; Tourism; COVID19Pandemic (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:ijoemp:ijoem-12-2021-1877

DOI: 10.1108/IJOEM-12-2021-1877

Access Statistics for this article

International Journal of Emerging Markets is currently edited by Prof Ilan Alon

More articles in International Journal of Emerging Markets from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().