Global and domestic economic policy uncertainties and tourism stock market: Evidence from China

Han Liu, Peng Yang, Haiyan Song and Doris Chenguang Wu

Tourism Economics, 2024, vol. 30, issue 3, 567-591

Abstract: This study investigates the impacts of global economic policy uncertainty (GEPU) and domestic (Chinese) economic policy uncertainty (CEPU) on the long-run volatility of the tourism stock market in China based on an improved GARCH–MIDAS–X model. Empirical results reveal that both CEPU and GEPU have significant negative effects on the long-run volatility of China’s tourism stock market. It is further identified that the impact of GEPU on tourism companies’ performance is short-lived. The findings suggest that tourism-related practitioners should monitor both CEPU and GEPU when conducting risk assessments related to tourism investment and policymaking.

Keywords: economic policy uncertainty; GARCH–MIDAS model; long-run volatility; tourism stock returns; tourism thematic index (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:sae:toueco:v:30:y:2024:i:3:p:567-591

DOI: 10.1177/13548166231173171

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