The impact of COVID-19 on the volatility connectedness of the Chinese tourism sector

被引：13

作者：

Hu, Yang ^{[1
]}

Lang, Chunlin ^{[2
,3
]}

Corbet, Shaen ^{[1
,4
]}

Wang, Junchuan ^{[5
]}

机构：

[1] Univ Waikato, Sch Accounting Finance & Econ, Waikato, New Zealand

[2] Zhengzhou Univ, Sch Informat Management, Zhengzhou 450001, Peoples R China

[3] Zhengzhou Data Sci Res Ctr, Zhengzhou 450001, Peoples R China

[4] Dublin City Univ, DCU Business Sch, Dublin, Ireland

[5] Hong Kong Polytech Univ, Sch Hotel & Tourism Management, Hong Kong, Peoples R China

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2024年 / 68卷

关键词：

COVID-19; China; Tourism; TVP-VAR; Stock markets; CRISIS MANAGEMENT; SPILLOVERS; RESILIENCE;

D O I：

10.1016/j.ribaf.2023.102192

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the dynamic behaviour of the volatility connectedness of COVID-19-related stock indices on Chinese tourism sub-sectors using a novel TVP-VAR frequency approach of Chatziantoniou et al. (2021). Our empirical results show that COVID-19 affects all six examined tourism sub-sectors, but the volatility transmissions between COVID-19 and each tourism sector are not uniform. Different waves of COVID-19 have contributed to time-varying changes of volatility connectedness to all tourism sectors. Our results will be of great interest and importance to policymakers and investors, who will better understand developments in China's tourism sectors under extreme financial shocks and learn how to better manage risk considering potential future epidemics and pandemics.

引用

页数：15

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