Volatility Spillovers Among Selected Tourism Stock Indices

Volatility spillover is one of the most researched subjects in the finance literature due to its association with the transfer of risk between stock markets and portfolio management. The tourism sector has attracted significant attention from investors and scholars during the last two decades. Thus, the first concern of this thesis is to understand whether the volatility is transmitted among the major global tourism stock markets. Second, for portfolio diversification purposes, determine whether the effect of volatility transmission among tourism stock markets is temporary or persistent (long-lasting). For these purposes, Diebold and Yilmaz (2012) and Barunik and Krehlik (2018) time- and frequency-domain methods are adopted. Results suggest that total spillovers of the tourism stock indices rose significantly during the pandemic. Turkey and Italy are net volatility spillover transmitters, and others are net volatility spillover receivers. The results also indicate that the effect of volatility transmission among tourism stock markets is temporary (short-lasting). The findings suggest that short-term investors and portfolio managers should avoid investing in the tourism indices in the short term.