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Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations

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International and domestic tourism are leading economic activities in the world today. Tourism has been known to generate goods and services directly and indirectly, attract foreign currency, stimulate employment, and provide opportunities for investment. It has also been recognized as an important means for achieving economic development. Substantial research has been conducted to evaluate the role of international tourism, and its associated volatility, within and across various economies. This paper applies several recently developed models of multivariate conditional volatility to investigate the interdependence of international tourism demand, as measured by international tourist arrivals, and its associated volatility in the four leading destinations in ASEAN, namely Indonesia, Malaysia, Singapore and Thailand. Each of these countries has attractive tourism characteristics, such as significant cultural and natural resources. Shocks to international tourism demand volatility could affect, positively or negatively, the volatility in tourism demand of neighbouring countries. The empirical results should encourage regional co-operation in tourism development among ASEAN member countries, and also mobilize international and regional organizations to provide appropriate policy actions.

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  • Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," Working Papers in Economics 10/27, University of Canterbury, Department of Economics and Finance.
  • Handle: RePEc:cbt:econwp:10/27
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    File URL: http://www.econ.canterbury.ac.nz/RePEc/cbt/econwp/1027.pdf
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    1. repec:ipg:wpaper:2014-095 is not listed on IDEAS
    2. Michael McAleer, 2015. "The Fundamental Equation in Tourism Finance," Journal of Risk and Financial Management, MDPI, Open Access Journal, pages 1-6.
    3. Lin, Boqiang & Wesseh, Presley K. & Appiah, Michael Owusu, 2014. "Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness," Energy Economics, Elsevier, pages 172-182.
    4. Arouri, Mohamed El Hedi & Jouini, Jamel & Nguyen, Duc Khuong, 2012. "On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness," Energy Economics, Elsevier, pages 611-617.
    5. Agya Atabani Adi, 2017. "Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, pages 29-38.
    6. Manuela, Wilfred S. & de Vera, Manuel J., 2015. "The impact of government failure on tourism in the Philippines," Transport Policy, Elsevier, pages 11-22.

    More about this item

    Keywords

    Tourism demand; ASEAN; multivariate GARCH; volatility spillovers; interdependence; economic development; seasonality;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F50 - International Economics - - International Relations, National Security, and International Political Economy - - - General
    • O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East

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