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Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors

Author

Listed:
  • Anastasios Zopiatis

    (Cyprus University of Technology, Cyprus)

  • Christos S. Savva

    (Cyprus University of Technology, Cyprus)

  • Neophytos Lambertides

    (Cyprus University of Technology, Cyprus)

  • Michael McAleer

    (National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain and Yokohama National University, Japan)

Abstract

Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of Euros were wiped from tourism related stocks. The theoretical relationship of the industry with such unexpected non-macro incidents received moderate academic coverage. Nevertheless, the quantifiable impact of such events on tourism-specific stock values, both in terms of returns and volatility, is still a barren landscape. Using econometric methodology, the paper investigates the reaction of five hospitality/tourism stock indices to 150 incidents depicting major Acts of Terrorism, ‘Acts of God’, and War conflicts in the 21st Century. Empirical findings underscore the effect of such incidents on hospitality/tourism stock indices, with distinctive differences among the different types, the specificities of each event, and the five regions under investigation. This paper contributes to the extant literature and enhances our conceptual capital pertaining to the industry’s current financial practices that are related to stock performance and behavior.

Suggested Citation

  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors," Tinbergen Institute Discussion Papers 17-052/III, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:20170052
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    More about this item

    Keywords

    Unexpected Non-macroeconomic Factors; Stock Market; Event Study; Econometric Modeling.;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management
    • Z32 - Other Special Topics - - Tourism Economics - - - Tourism and Development

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