Work

The impact of COVID-19 on the volatility connectedness of the Chinese tourism sector

Year: 2023

Type: article

Abstract: This paper investigates the dynamic behaviour of the volatility connectedness of COVID-19related stock indices on Chinese tourism sub-sectors using a novel TVP-VAR frequency approach of Chatziantoniou et al. [2021]. Our empirical results show that COVID-19 affects all six examined tourism sub-sectors, but the volatility transmissions between COVID-19 and each tourism sector are not uniform. Different waves of COVID-19 have contributed to time-varying changes of volatility connectedness to all tourism sectors. Our results will be of great interest and importance for those policymakers and investors, who will have a better understanding of developments in China’s tourism sectors under extreme financial shocks and learn how to manage risks for potential epidemics and pandemics in the future.

Source: Research in International Business and Finance

DOI: 10.1016/j.ribaf.2023.102192

Authors: Yang Hu, Chunlin Lang, Shaen Corbet, Junchuan Wang

Institutions: University of Waikato, Zhengzhou University, Dublin City University, Hong Kong Polytechnic University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,040

OpenAlex ID: W4388968673

FWCI: 5.069

Cites: 90

Cited by: 24

Related to: 10