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Geopolitical risks and tourism stocks: New evidence from causality-in-quantile approach

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  • Raheem, Ibrahim D.
  • le Roux, Sara

Abstract

This study examines the relationship between Geopolitical Risks (GPR) and Travel and Leisure (T&L) stocks. The scope of this study is based on six emerging countries. Analyses are done using a non-parametric causality-in-quantile approach, whose advantages include: (i) robustness to misspecification errors; (ii) simultaneously examine causality in mean and variance. We find that GPR is weakly related to the T&L stock for both Indonesia and South Korea. However, significant relationships ensue for India, China, Malaysia, and Israel. It is also observed that GPR can better predict the volatility of T&L stock compared to stock returns. These results are robust to alternative measures of GPR.

Suggested Citation

  • Raheem, Ibrahim D. & le Roux, Sara, 2023. "Geopolitical risks and tourism stocks: New evidence from causality-in-quantile approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 1-7.
    • Handle: RePEc:eee:quaeco:v:88:y:2023:i:c:p:1-7
    DOI: 10.1016/j.qref.2023.01.002
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    More about this item

    Keywords

    Geopolitical risks; Tourism; Quantile causality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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