From pandemic turbulence to recovery: a dynamic assessment of return and volatility spillovers in tourism finance
Yazarlar (3)
Doç. Dr. Mehmet ŞAHİNER Yalova Üniversitesi, Türkiye
Maher Khasawneh
Hashemite University, Ürdün
Hashemite University, Ürdün
Öğr. Gör. Burak Korkusuz Osmaniye Korkut Ata Üniversitesi, Türkiye
| Makale Türü |
Özgün Makale
(SSCI, AHCI, SCI, SCI-Exp dergilerinde yayınlanan tam makale)
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| Dergi Adı | Financial Innovation (Q1) | ||
| Dergi ISSN | 2199-4730 Dergi Bilgileri (2026) | ||
| Dergi Tarandığı Indeksler | SSCI | ||
| Makale Dili | İngilizce | Basım Tarihi | 02-2026 |
| Kabul Tarihi | 26-01-2026 | Yayınlanma Tarihi | 14-02-2026 |
| Cilt / Sayı / Sayfa | 12 / 1 / – | DOI | 10.1186/s40854-026-00914-z |
| Makale Linki | https://doi.org/10.1186/s40854-026-00914-z | ||
| UAK Araştırma Alanları |
Finansal Risk Yönetimi
Finansal Teknoloji
Uluslararası Finans
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| Özet |
| This study investigates the return and volatility connectedness among major tourism stock indices and risk-related indices during the pre-COVID-19, COVID-19, and post-COVID-19 periods using a time-varying parameter vector autoregression (TVP-VAR) model. Specifically, a connectedness network is built for each period to compare the nature of connectedness over the three examined periods. The findings reveal significant temporal variations in connectedness, with moderate levels before the pandemic, a sharp surge during COVID-19 driven by increased uncertainty, and partial normalization afterward. While volatility connectedness declines more noticeably in the recovery, return spillovers remain persistently high. Notably, global and American tourism indices are consistent return transmitters, whereas systemic risk measures play a larger role in volatility transmission. Importantly, American tourism stocks are intertwined with global tourism stocks, exhibiting synchronized movement over the periods. These findings highlight how global shocks reshape the transmission of risks in the tourism sector and underscore the need for strategies that address both short-term market reactions and longer-term uncertainty. |
| Anahtar Kelimeler |
| Tourism | Risk-related indices | Return connectedness | Volatility spillover | TVP-VAR | COVID-19 |
BM Sürdürülebilir Kalkınma Amaçları
| Atıf Sayıları | |
| Yöksis | 2 |
| Scopus | 2 |