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

Author

Listed:
  • Hu, Yang
  • Lang, Chunlin
  • Corbet, Shaen
  • Wang, Junchuan

Abstract

This paper investigates the dynamic behaviour of the volatility connectedness of COVID-19-related 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 to policymakers and investors, who will better understand developments in China’s tourism sectors under extreme financial shocks and learn how to better manage risk considering potential future epidemics and pandemics.

Suggested Citation

  • Hu, Yang & Lang, Chunlin & Corbet, Shaen & Wang, Junchuan, 2024. "The impact of COVID-19 on the volatility connectedness of the Chinese tourism sector," Research in International Business and Finance, Elsevier, vol. 68(C).
    • Handle: RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003185
    DOI: 10.1016/j.ribaf.2023.102192
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    More about this item

    Keywords

    COVID-19; China; Tourism; TVP-VAR; Stock markets;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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