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Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

Author

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  • Chang, C-L.
  • McAleer, M.J.
  • Lim, C.

Abstract

This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand, respectively. In order to model appropriately the volatilities of international tourist arrivals, we use symmetric and asymmetric conditional volatility models that are commonly used in financial econometrics, namely the GARCH (1,1), GJR (1,1) and EGARCH (1,1) models. The data series are for the period January 1997 to December 2007. The volatility estimates for the monthly growth in Japanese tourists to New Zealand and Taiwan are different, and indicate that the former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no asymmetric effect. Moreover, there is a leverage effect in the monthly growth rate of Japanese tourists to New Zealand, whereby negative shocks increase volatility but positive shocks of similar magnitude decrease volatility. These empirical results seem to be similar to a wide range of financial stock market prices, so that the models used in financial economics, and hence the issues related to risk and leverage effects, are also applicable to international tourism flows.

Suggested Citation

  • Chang, C-L. & McAleer, M.J. & Lim, C., 2011. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Econometric Institute Research Papers EI2011-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Handle: RePEc:ems:eureir:25611
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    References listed on IDEAS

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    Cited by:

    1. Michael McAleer, 2015. "The Fundamental Equation in Tourism Finance," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(4), pages 1-6, December.
    2. Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    3. Balli, Hatice Ozer & Tsui, Wai Hong Kan & Balli, Faruk, 2019. "Modelling the volatility of international visitor arrivals to New Zealand," Journal of Air Transport Management, Elsevier, vol. 75(C), pages 204-214.

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    More about this item

    Keywords

    asymmetric effect; conditional volatility; leverage; long hauls; risk; tourist arrivals;
    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
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism

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