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

• Ying Wang ^[1] ; Hongwei Zhang ^[1] ; Wang Gao ^[2] ; Cai Yang ^[3]
  1. [1] Central South University

     Central South University

     China

     
  2. [2] Hebei University of Economics and Business

     Hebei University of Economics and Business

     China

     
  3. [3] Hunan University

     Hunan University

     China

     

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• Localización: Tourism economics: the business and finance of tourism and recreation, ISSN 1354-8166, Vol. 29, Nº. 2, 2023, págs. 460-487
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • 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.