Persistence of travel and leisure sector equity indices

Jorge Andraz, Raúl F. C. Guerreiro and Paulo Rodrigues
Additional contact information
Raúl F. C. Guerreiro: Universidade do Algarve and CEFAGE-Ualg

Empirical Economics, 2018, vol. 54, issue 4, No 17, 1825 pages

Abstract: Abstract Volatility persistence of travel and leisure sector equity indices and of some of its components is analyzed, and tests of whether persistence has changed over time are performed. Given the typical leading indicator behavior of financial variables, understanding and characterizing the properties of these indices may help shed light on the behavior of the tourism sector and of its resilience to crises. For the purpose of analysis, our sample is split into three subsamples according to the World tourism cycle: (i) from January 1996 to December 2002; (ii) from January 2003 to August 2007; and (iii) from September 2007 to July 2014. Results suggest the existence of long-memory dynamics driving series volatility, and that shocks to volatility tend to be more persistent during periods of turmoil and affect regions differently.

Keywords: Long memory; Persistence breaks; Crises; Tourism (search for similar items in EconPapers)
JEL-codes: C22 G21 G32 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-017-1276-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:empeco:v:54:y:2018:i:4:d:10.1007_s00181-017-1276-8

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-017-1276-8

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().