Geopolitical risks and tourism stocks: New evidence from causality-in-quantile approach

This study examines the relationship between Geopolitical Risks (GPR) and Travel and Leisure (T&L) stocks. The scope of this study is based on six emerging countries. Analyses are done using a non-parametric causality-in-quantile approach, whose advantages include: (i) robustness to misspecification errors; (ii) simultaneously examine causality in mean and variance. We find that GPR is weakly related to the T&L stock for both Indonesia and South Korea. However, significant relationships ensue for India, China, Malaysia, and Israel. It is also observed that GPR can better predict the volatility of T&L stock compared to stock returns. These results are robust to alternative measures of GPR.(c) 2023 The Author(s). Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).