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

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Listed:
  • Han Liu
  • Peng Yang
  • Haiyan Song
  • Doris Chenguang Wu

Abstract

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.

Suggested Citation

  • Han Liu & Peng Yang & Haiyan Song & Doris Chenguang Wu, 2024. "Global and domestic economic policy uncertainties and tourism stock market: Evidence from China," Tourism Economics, , vol. 30(3), pages 567-591, May.
    • Handle: RePEc:sae:toueco:v:30:y:2024:i:3:p:567-591
    DOI: 10.1177/13548166231173171
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