The impact of COVID-19 on the volatility connectedness of the Chinese tourism sector

Abstract

This paper investigates the dynamic behaviour of the volatility connectedness of COVID-19related stock indices on Chinese tourism sub-sectors using a novel TVP-VAR frequency approach of Chatziantoniou et al. [2021]. Our empirical results show that COVID-19 affects all six examined tourism sub-sectors, but the volatility transmissions between COVID-19 and each tourism sector are not uniform. Different waves of COVID-19 have contributed to time-varying changes of volatility connectedness to all tourism sectors. Our results will be of great interest and importance for those policymakers and investors, who will have a better understanding of developments in China’s tourism sectors under extreme financial shocks and learn how to manage risks for potential epidemics and pandemics in the future.

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