The Impact of Covid-19 on the Volatility Connectedness of the Chinese Tourism Sector

30 Pages Posted: 24 Feb 2023

See all articles by Yang Hu

Yang Hu

School of Accounting, Finance and Economics, University of Waikato

Chunlin Lang

Zhengzhou University

Shaen Corbet

Dublin City University ; University of Waikato - Management School

Junchuan Wang

Hong Kong Polytechnic University

Abstract

This paper investigates the dynamic behaviour of the volatility connectedness of COVID-19related 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 for those policymakers and investors, who will have a better understanding of developments in China’s tourism sectors under extreme financial shocks and learn how to manage risks for potential epidemics and pandemics in the future.

Keywords: COVID-19, China, Tourism, TVP-VAR, Stock Markets

Suggested Citation

Hu, Yang and Lang, Chunlin and Corbet, Shaen and Wang, Junchuan, The Impact of Covid-19 on the Volatility Connectedness of the Chinese Tourism Sector. Available at SSRN: https://ssrn.com/abstract=4359930 or http://dx.doi.org/10.2139/ssrn.4359930

Yang Hu

School of Accounting, Finance and Economics, University of Waikato ( email )

Te Raupapa
Private Bag 3105
Hamilton, Waikato 3240
New Zealand

Chunlin Lang

Zhengzhou University ( email )

100 Science Avenue
Zhengzhou, CO 450001
China

Shaen Corbet (Contact Author)

Dublin City University ( email )

Dublin 9
Ireland

University of Waikato - Management School ( email )

Hamilton
New Zealand

Junchuan Wang

Hong Kong Polytechnic University ( email )

Hung Hom
Kowloon
Hong Kong

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