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Extreme risk connection among the European Tourism, energy and carbon emission markets

Author

Listed:
  • Zeng, Hongjun
  • Abedin, Mohammad Zoynul
  • Ahmed, Abdullahi D.
  • Huang, Qingcheng

Abstract

This article presents a novel examination of the risk connectedness patterns and causality relationships between European Tourism and the Energy and Carbon Emissions Market. The findings indicate that the risk connectedness between European Tourism and the Energy and Carbon Emissions Market exhibits asymmetric characteristics, displaying weaker connectedness in median and high states compared to normal market conditions. Notably, connectedness is more pronounced in extreme tail cases. Additionally, the European Tourism Sector Index is less susceptible to risks in the European Energy and Carbon Emissions market during bear markets. Furthermore, Rotterdam Coal Futures and Dutch TTF Natural Gas Futures contribute significantly to the volatility connectedness of the European Tourism Sector Index. The findings of the quantile Granger causality test confirmed the existence of causality between the European Tourism Index and the European Energy and Carbon Markets across all market states.

Suggested Citation

  • Zeng, Hongjun & Abedin, Mohammad Zoynul & Ahmed, Abdullahi D. & Huang, Qingcheng, 2025. "Extreme risk connection among the European Tourism, energy and carbon emission markets," Research in International Business and Finance, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004860
    DOI: 10.1016/j.ribaf.2024.102693
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    More about this item

    Keywords

    European tourism sector index; European energy and carbon emissions market; Quantile connectedness; Risk spillover; Quantile granger causality;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • Z32 - Other Special Topics - - Tourism Economics - - - Tourism and Development
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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