European travel and leisure sector and uncertainties: A risk spillover analysis

Dilip Kumar

Tourism Economics, 2023, vol. 29, issue 1, 48-67

Abstract: The study analyzes the impact of uncertainty changes on the European travel and leisure sector stocks. We use economic policy uncertainty, geopolitical uncertainty, financial market uncertainty, and crude oil price uncertainty as uncertainty variables. We also analyze the extreme risk transmission from the uncertainty variables to the European travel and leisure sector stocks using the copula-based conditional Value-at-Risk (CoVaR) approach. The findings provide evidence of a significant impact of uncertainty variables on travel and leisure stocks mainly on the lower quantiles. The findings also indicate the significant downside and upside risk spillover effect from the extreme upside and downside movements in the uncertainty variables, respectively. The findings have implications for individual investors, portfolio managers, and institutional investors.

Keywords: Travel and leisure sector; economic policy uncertainty; geopolitical risk; financial market uncertainty; crude oil price uncertainty (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:sae:toueco:v:29:y:2023:i:1:p:48-67

DOI: 10.1177/13548166211035954

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