IDEAS home Printed from https://ideas.repec.org/a/sae/toueco/v29y2023i2p460-487.html
   My bibliography  Save this article

Spillover effects from news to travel and leisure stocks during the COVID-19 pandemic: Evidence from the time and frequency domains

Author

Listed:
  • Ying Wang
  • Hongwei Zhang
  • Wang Gao
  • Cai Yang

Abstract

The impact of the COVID-19 pandemic on tourism has received general attention in the literature, while the role of news during the pandemic has been ignored. Using a time-frequency connectedness approach, this paper focuses on the spillover effects of COVID-19-related news on the return and volatility of four regional travel and leisure (T&L) stocks. The results in the time domain reveal significant spillovers from news to T&L stocks. Specifically, in the return system, T&L stocks are mainly affected by media hype, while in the volatility system, they are mainly affected by panic sentiment. This paper also finds two risk contagion paths. The contagion index and Global T&L stock are the sources of these paths. The results in the frequency domain indicate that the shocks in the T&L industry are mainly driven by short-term fluctuations. The spillovers from news to T&L stocks and among these T&L stocks are stronger within 1Â month.

Suggested Citation

  • Ying Wang & Hongwei Zhang & Wang Gao & Cai Yang, 2023. "Spillover effects from news to travel and leisure stocks during the COVID-19 pandemic: Evidence from the time and frequency domains," Tourism Economics, , vol. 29(2), pages 460-487, March.
    • Handle: RePEc:sae:toueco:v:29:y:2023:i:2:p:460-487
    DOI: 10.1177/13548166211058497
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.1177/13548166211058497
    Download Restriction: no
    File URL: https://libkey.io/10.1177/13548166211058497?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Bukovina, Jaroslav, 2016. "Social media big data and capital markets—An overview," Journal of Behavioral and Experimental Finance, Elsevier, vol. 11(C), pages 18-26.
    2. Joel Peress, 2014. "The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes," Journal of Finance, American Finance Association, vol. 69(5), pages 2007-2043, October.
    3. Lepori, Gabriele M., 2015. "Investor mood and demand for stocks: Evidence from popular TV series finales," Journal of Economic Psychology, Elsevier, vol. 48(C), pages 33-47.
    4. Dunia Rassy & Richard D. Smith, 2013. "The economic impact of H1N1 on Mexico's tourist and pork sectors," Health Economics, John Wiley & Sons, Ltd., vol. 22(7), pages 824-834, July.
    5. Sun, Xiaolei & Wang, Jun & Yao, Yanzhen & Li, Jingyu & Li, Jianping, 2020. "Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective," International Review of Financial Analysis, Elsevier, vol. 68(C).
    6. Tiwari, Aviral Kumar & Nasreen, Samia & Shahbaz, Muhammad & Hammoudeh, Shawkat, 2020. "Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals," Energy Economics, Elsevier, vol. 85(C).
    7. Audrino, Francesco & Sigrist, Fabio & Ballinari, Daniele, 2020. "The impact of sentiment and attention measures on stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 334-357.
    8. Kim, Neri & Lučivjanská, Katarína & Molnár, Peter & Villa, Roviel, 2019. "Google searches and stock market activity: Evidence from Norway," Finance Research Letters, Elsevier, vol. 28(C), pages 208-220.
    9. Donohoe, Holly & Pennington-Gray, Lori & Omodior, Oghenekaro, 2015. "Lyme disease: Current issues, implications, and recommendations for tourism management," Tourism Management, Elsevier, vol. 46(C), pages 408-418.
    10. Umar, Zaghum & Gubareva, Mariya, 2020. "A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    11. Naeem, Muhammad Abubakr & Peng, Zhe & Suleman, Mouhammed Tahir & Nepal, Rabindra & Shahzad, Syed Jawad Hussain, 2020. "Time and frequency connectedness among oil shocks, electricity and clean energy markets," Energy Economics, Elsevier, vol. 91(C).
    12. Broadstock, David C. & Zhang, Dayong, 2019. "Social-media and intraday stock returns: The pricing power of sentiment," Finance Research Letters, Elsevier, vol. 30(C), pages 116-123.
    13. Paul C. Tetlock, 2011. "All the News That's Fit to Reprint: Do Investors React to Stale Information?," Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1481-1512.
    14. Zhang, Ke & Hou, Yuansi & Li, Gang, 2020. "Threat of infectious disease during an outbreak: Influence on tourists' emotional responses to disadvantaged price inequality," Annals of Tourism Research, Elsevier, vol. 84(C).
    15. Haroon, Omair & Rizvi, Syed Aun R., 2020. "COVID-19: Media coverage and financial markets behavior—A sectoral inquiry," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    16. Blitz, David & Huisman, Rob & Swinkels, Laurens & van Vliet, Pim, 2020. "Media attention and the volatility effect," Finance Research Letters, Elsevier, vol. 36(C).
    17. Zhang, Yongjie & Zhang, Yuzhao & Shen, Dehua & Zhang, Wei, 2017. "Investor sentiment and stock returns: Evidence from provincial TV audience rating in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 288-294.
    18. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
    19. Joseph E. Engelberg & Christopher A. Parsons, 2011. "The Causal Impact of Media in Financial Markets," Journal of Finance, American Finance Association, vol. 66(1), pages 67-97, February.
    20. Liew, Venus Khim-Sen, 2020. "The effect of novel coronavirus pandemic on tourism share prices," MPRA Paper 107985, University Library of Munich, Germany.
    21. Xi Zhang & Jiawei Shi & Di Wang & Binxing Fang, 2018. "Exploiting Investors Social Network for Stock Prediction in China's Market," Papers 1801.00597, arXiv.org.
    22. Umar, Zaghum & Nasreen, Samia & Solarin, Sakiru Adebola & Tiwari, Aviral Kumar, 2019. "Exploring the time and frequency domain connectedness of oil prices and metal prices," Resources Policy, Elsevier, vol. 64(C).
    23. Paul C. Tetlock, 2010. "Does Public Financial News Resolve Asymmetric Information?," Review of Financial Studies, Society for Financial Studies, vol. 23(9), pages 3520-3557.
    24. Sharma, Abhinav & Nicolau, Juan Luis, 2020. "An open market valuation of the effects of COVID-19 on the travel and tourism industry," Annals of Tourism Research, Elsevier, vol. 83(C).
    25. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    26. Xia, Tongshui & Yao, Chen-Xi & Geng, Jiang-Bo, 2020. "Dynamic and frequency-domain spillover among economic policy uncertainty, stock and housing markets in China," International Review of Financial Analysis, Elsevier, vol. 67(C).
    27. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    28. Salisu, Afees A. & Vo, Xuan Vinh, 2020. "Predicting stock returns in the presence of COVID-19 pandemic: The role of health news," International Review of Financial Analysis, Elsevier, vol. 71(C).
    29. Dragouni, Mina & Filis, George & Gavriilidis, Konstantinos & Santamaria, Daniel, 2016. "Sentiment, mood and outbound tourism demand," Annals of Tourism Research, Elsevier, vol. 60(C), pages 80-96.
    30. Shen, Dehua & Zhang, Wei & Xiong, Xiong & Li, Xiao & Zhang, Yongjie, 2016. "Trading and non-trading period Internet information flow and intraday return volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 519-524.
    31. Gu, Chen & Kurov, Alexander, 2020. "Informational role of social media: Evidence from Twitter sentiment," Journal of Banking & Finance, Elsevier, vol. 121(C).
    32. Syed Jawad Hussain Shahzad & Román Ferrer, 2020. "Dynamic spillover effects among tourism, economic growth and macro-finance risk factors," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(3), pages 173-194, September.
    33. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    34. Liang, Chao & Tang, Linchun & Li, Yan & Wei, Yu, 2020. "Which sentiment index is more informative to forecast stock market volatility? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 71(C).
    35. Cepoi, Cosmin-Octavian, 2020. "Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil," Finance Research Letters, Elsevier, vol. 36(C).
    36. Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, June.
    37. Wang, Yudong & Guo, Zhuangyue, 2018. "The dynamic spillover between carbon and energy markets: New evidence," Energy, Elsevier, vol. 149(C), pages 24-33.
    38. Ferreira, Eurico J. & Smith, Stanley D., 1999. "Stock price reactions to recommendations in the Wall Street Journal "Small Stock Focus" column," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(3), pages 379-389.
    39. Wu, Chen-Hui & Lin, Chan-Jane, 2017. "The impact of media coverage on investor trading behavior and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 151-172.
    40. Hang, Haiming & Aroean, Lukman & Chen, Zhifeng, 2020. "Building emotional attaching during COVID-19," Annals of Tourism Research, Elsevier, vol. 83(C).
    41. Qiu, Richard T.R. & Park, Jinah & Li, ShiNa & Song, Haiyan, 2020. "Social costs of tourism during the COVID-19 pandemic," Annals of Tourism Research, Elsevier, vol. 84(C).
    42. Adam Blake & M. Thea Sinclair & Guntur Sugiyarto, 2003. "Quantifying the Impact of Foot and Mouth Disease on Tourism and the UK Economy," Tourism Economics, , vol. 9(4), pages 449-465, December.
    43. Song, Yingjie & Ji, Qiang & Du, Ya-Juan & Geng, Jiang-Bo, 2019. "The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets," Energy Economics, Elsevier, vol. 84(C).
    44. Yang, Yang & Zhang, Hongru & Chen, Xiang, 2020. "Coronavirus pandemic and tourism: Dynamic stochastic general equilibrium modeling of infectious disease outbreak," Annals of Tourism Research, Elsevier, vol. 83(C).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Huynh, Toan Luu Duc & Foglia, Matteo & Nasir, Muhammad Ali & Angelini, Eliana, 2021. "Feverish sentiment and global equity markets during the COVID-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 1088-1108.
    2. Akhtaruzzaman, Md & Boubaker, Sabri & Umar, Zaghum, 2022. "COVID–19 media coverage and ESG leader indices," Finance Research Letters, Elsevier, vol. 45(C).
    3. Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua, 2017. "The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 535-541.
    4. Khalfaoui, Rabeh & Mefteh-Wali, Salma & Dogan, Buhari & Ghosh, Sudeshna, 2023. "Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis," International Review of Financial Analysis, Elsevier, vol. 86(C).
    5. Su, Chi-Wei & Pang, Li-Dong & Qin, Meng & Lobonţ, Oana-Ramona & Umar, Muhammad, 2023. "The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises," Energy, Elsevier, vol. 274(C).
    6. Feipeng Zhang & Yun Hong & Yanhui Jiang & Jiayi Yu, 2022. "Impact of national media reporting concerning COVID-19 on stock market in China: empirical evidence from a quantile regression," Applied Economics, Taylor & Francis Journals, vol. 54(33), pages 3861-3881, July.
    7. Umar, Zaghum & Manel, Youssef & Riaz, Yasir & Gubareva, Mariya, 2021. "Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    8. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    9. Mesut Doğan & Sutbayeva Raikhan & Nurbossynova Zhanar & Bodaukhan Gulbagda, 2023. "Analysis of Dynamic Connectedness Relationships among Clean Energy, Carbon Emission Allowance, and BIST Indexes," Sustainability, MDPI, vol. 15(7), pages 1-13, March.
    10. Tom Marty & Bruce Vanstone & Tobias Hahn, 2020. "News media analytics in finance: a survey," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1385-1434, June.
    11. Umar, Zaghum & Adekoya, Oluwasegun Babatunde & Oliyide, Johnson Ayobami & Gubareva, Mariya, 2021. "Media sentiment and short stocks performance during a systemic crisis," International Review of Financial Analysis, Elsevier, vol. 78(C).
    12. Betton, Sandra & Davis, Frederick & Walker, Thomas, 2018. "Rumor rationales: The impact of message justification on article credibility," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 271-287.
    13. Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
    14. Umar, Zaghum & Jareño, Francisco & Escribano, Ana, 2021. "Oil price shocks and the return and volatility spillover between industrial and precious metals," Energy Economics, Elsevier, vol. 99(C).
    15. Manel Youssef & Khaled Mokni & Ahdi Noomen Ajmi, 2021. "Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    16. Pengxiang Zhai & Fei Wu & Qiang Ji & Duc Khuong Nguyen, 2024. "From fears to recession? Time‐frequency risk contagion among stock and credit default swap markets during the COVID pandemic," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 551-580, January.
    17. Francisco Jareño & Ana Escribano & Zaghum Umar, 2023. "The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
    18. Umar, Zaghum & Jareño, Francisco & González, María de la O, 2021. "The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies," Technological Forecasting and Social Change, Elsevier, vol. 172(C).
    19. Kamal, Javed Bin & Wohar, Mark & Kamal, Khaled Bin, 2022. "Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?," Resources Policy, Elsevier, vol. 78(C).
    20. Guo, Li-Yang & Feng, Chao, 2021. "Are there spillovers among China's pilots for carbon emission allowances trading?," Energy Economics, Elsevier, vol. 103(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:toueco:v:29:y:2023:i:2:p:460-487. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.