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

被引：10

作者：

Wang, Ying ^{[1
]}

Zhang, Hongwei ^{[1
,2
]}

Gao, Wang ^{[3
]}

Yang, Cai ^{[4
]}

机构：

[1] Cent South Univ, Sch Math & Stat, Changsha, Peoples R China

[2] Cent South Univ, Inst Met Resources Strategy, Changsha, Peoples R China

[3] Hebei Univ Econ & Business, Sch Finance, Shijiazhuang, Hebei, Peoples R China

[4] Hunan Univ, Business Sch, Changsha, Peoples R China

来源：

TOURISM ECONOMICS | 2023年 / 29卷 / 02期

关键词：

COVID-19; news; travel and leisure stock; stock return and volatility; time-frequency connectedness approach; IMPULSE-RESPONSE ANALYSIS; INVESTOR SENTIMENT; MEDIA COVERAGE; SOCIAL-MEDIA; TOURISM; RISK; MARKETS; IMPACT; CONNECTEDNESS; INFORMATION;

D O I：

10.1177/13548166211058497

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 1 month.

引用

页码：460 / 487

页数：28

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