Global and domestic economic policy uncertainties and tourism stock market: Evidence from China

被引：8
|
作者：
Liu, Han [1 ,2 ]
Yang, Peng [2 ]
Song, Haiyan [3 ]
Wu, Doris Chenguang [4 ]
机构：
[1] Jilin Univ, Ctr Quantitat Econ, Changchun, Peoples R China
[2] Jilin Univ, Sch Busines sand Management, Changchun, Peoples R China
[3] Hong Kong Polytech Univ, Int Tourism, Sch Hotel & Tourism Management, Hong Kong, Peoples R China
[4] Sun Yat sen Univ, Sch Business, 135 Xingang West Rd, Guangzhou 510275, Peoples R China
来源：
TOURISM ECONOMICS | 2024年 / 30卷 / 03期
基金：
中国国家自然科学基金;
关键词：
economic policy uncertainty; GARCH-MIDAS model; long-run volatility; tourism stock returns; tourism thematic index; GEOPOLITICAL-RISK; VOLATILITY; IMPACT; RETURNS; DEMAND; TRAVEL; MODEL; RESPONSES; ARRIVALS; HELP;
D O I：
10.1177/13548166231173171
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study investigates the impacts of global economic policy uncertainty (GEPU) and domestic (Chinese) economic policy uncertainty (CEPU) on the long-run volatility of the tourism stock market in China based on an improved GARCH-MIDAS-X model. Empirical results reveal that both CEPU and GEPU have significant negative effects on the long-run volatility of China's tourism stock market. It is further identified that the impact of GEPU on tourism companies' performance is short-lived. The findings suggest that tourism-related practitioners should monitor both CEPU and GEPU when conducting risk assessments related to tourism investment and policymaking.
引用
收藏
页码：567 / 591
页数：25
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