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Nordic stock market performance of the travel and leisure industry during the first wave of Covid-19 pandemic

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  • Xiang Lin

    (Södertörn University, Sweden)

  • Martin Thomas Falk

    (University of South-Eastern Norway, Norway)

Abstract

This article investigates the performance of the stock market and its volatility in the travel and leisure industry for three Nordic countries using daily data from June 2018 to June 2020, a period that includes the first wave of Covid-19 pandemic. The methodology is based on the Markov regime switching model that allows unobservable regime shifts in the stock return relationship between the travel and leisure industry and the overall market in the period before the outbreak of Covid-19 crisis and during the recovery period at the end of the first wave. The results provide strong evidence of regime switching behaviour in the form of idiosyncratic risk as measured by volatility. The period before Covid-19 corresponds to a low/medium idiosyncratic risk, while the period of the pandemic is characterized by a regime with high idiosyncratic risk. Overall, the timing, likelihood and duration of this crisis regime depend on the composition of the travel and leisure firms. Those with a large proportion of online gambling firms perform better, while those consisting of international transportation firms, hotels and restaurants perform negatively. This study shows that the high-frequency data and the model chosen here can provide timely information on the impact of the pandemic on various tourism and leisure businesses that could be useful for policymaking.

Suggested Citation

  • Xiang Lin & Martin Thomas Falk, 2022. "Nordic stock market performance of the travel and leisure industry during the first wave of Covid-19 pandemic," Tourism Economics, , vol. 28(5), pages 1240-1257, August.
    • Handle: RePEc:sae:toueco:v:28:y:2022:i:5:p:1240-1257
    DOI: 10.1177/1354816621990937
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    1. Abbas Valadkhani, 2024. "Investment sensitivity to market uncertainty in the travel and tourism sector," Tourism Economics, , vol. 30(1), pages 236-254, February.
    2. Al-Nassar, Nassar S. & Yousaf, Imran & Makram, Beljid, 2023. "Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).

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