Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors
Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of Euros were wiped from tourism related stocks. The theoretical relationship of the industry with such unexpected non-macro incidents received moderate academic coverage. Nevertheless, the quantifiable impact of such events on tourism-specific stock values, both in terms of returns and volatility, is still a barren landscape. Using econometric methodology, the paper investigates the reaction of five hospitality/tourism stock indices to 150 incidents depicting major Acts of Terrorism, ‘Acts of God’, and War conflicts in the 21st Century. Empirical findings underscore the effect of such incidents on hospitality/tourism stock indices, with distinctive differences among the different types, the specificities of each event, and the five regions under investigation. This paper contributes to the extant literature and enhances our conceptual capital pertaining to the industry’s current financial practices that are related to stock performance and behavior.
|Keywords||Unexpected Non-macroeconomic Factors, Stock Market, Event Study, Econometric Modeling|
|JEL||Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions (jel C21), Financial Econometrics (jel C58), Financial Crises (jel G01), Crisis Management (jel H12), Tourism and Development (jel Z32)|
|Sponsor||The Australian Research Council andthe National Science Council, Ministry of Science and Technology (MOST), Taiwan|
|Series||Econometric Institute Research Papers|
Zopiatis, A, Savva, C.S, Lambertides, N, & McAleer, M.J. (2017). Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors (No. EI2017-15). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/100332