Volatility spillovers among major tourism stock indices during Covid-19 pandemic

Oubayda El Rifai, Nesrin Ozatac and Nigar Taspinar

Current Issues in Tourism, 2023, vol. 26, issue 13, 2227-2234

Abstract: This paper examines the dynamics of volatility spillovers among five major tourism stock indices during the Covid-19 period. Our paper enriches the current literature as it is the first paper to investigate the volatility spillovers among major global tourism stock indices by adopting Diebold and Yilmaz (2012. Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. ), and Barunik and Krehlik (2018. Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. Journal of Financial Econometrics, 16(2), 271–296.) time and frequency domain methods. Results suggest that total spillovers of the tourism stock indices rose significantly during the pandemic. Turkey and Italy are net volatility spillover transmitters, and others are net volatility spillover receivers. Findings of this study also indicates that the effect of volatility transmission among tourism stock markets is temporary (short-lasting). The results suggest that short-term investors and portfolio managers should avoid investing in the tourism indices in the short term.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13683500.2022.2153015 (text/html)
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:taf:rcitxx:v:26:y:2023:i:13:p:2227-2234

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rcit20

DOI: 10.1080/13683500.2022.2153015

Access Statistics for this article

Current Issues in Tourism is currently edited by Jennifer Tunstall

More articles in Current Issues in Tourism from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().