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Financial integration and European tourism stocks

Guglielmo Maria Caporale, Stavroula Yfanti, Menelaos Karanasos and Jiaying Wu

Chapter 21 in Handbook of Financial Integration, 2024, pp 495-538 from Edward Elgar Publishing

Abstract: This study examines the macro drivers of the time-varying (dynamic) connectedness between 11 European tourism sectors. Financial integration between the travel and leisure markets, measured by their dynamic correlations or co-movement, is explained by common global fundamentals. The empirical results provide new evidence on the counter-cyclical behavior of the correlations; in particular, stronger cross-country interdependence can be attributed to economic slowdowns characterized by higher uncertainty and geopolitical risk, tighter credit and liquidity conditions, and sluggish economic and real estate activity. Further, economic and political uncertainty is found to intensify the macro effects on tourism correlations. Finally, crises such as the 2008 financial turmoil, the subsequent European debt crisis, and the recent Covid-19 pandemic crash also magnify the impact of macro drivers on the evolution of co-movement and integration in the tourism sector.

Keywords: Economics and Finance (search for similar items in EconPapers)
Date: 2024
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Working Paper: Financial Integration and European Tourism Stocks (2023) Downloads
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