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<p>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.</p>

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From pandemic turbulence to recovery: a dynamic assessment of return and volatility spillovers in tourism finance

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2026年2月14日

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  • Mehmet Sahiner,
  • Maher Khasawneh,
  • Burak Korkusuz

摘要

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.