Does hospitality industry stock volatility react asymmetrically to health and economic crises?

This paper elucidates, how hospitality industry stock volatility reacts to health and economic crises. Recent literature shows conflicting evidence on whether negative shocks being more profound over positive shocks. Using the daily closing price of five major Chinese hospitality stocks spanning from June 6, 2000 to March 31, 2021, and by employing an asymmetric power autoregressive conditional heteroscedasticity model, this paper shows that hospitality industry stock volatility is asymmetric, i.e., more sensitive to bad news than to good news. Secondly, accounting for endogenously determined structural breaks, that correspond to the major crises, accurately estimates the impact of shocks on hospitality industry stock volatility. Finally, the volatility is attributed to persistence or, permanence in volatility where a major bad news of crises besides increasing current volatility also ramify future volatility. Lesser the volatility persistence, lower the asymmetric impact of the health and economic crises on stocks belonging to the hospitality industry.