Global and domestic economic policy uncertainties and tourism stock market: Evidence from China

Han Liu; Peng Yang; Haiyan Song; Doris Chenguang Wu

doi:10.1177/13548166231173171

Global and domestic economic policy uncertainties and tourism stock market: Evidence from China

Han Liu, Peng Yang, Haiyan Song, Doris Chenguang Wu

Research output: Journal article publication › Journal article › Academic research › peer-review

8 Citations (Scopus)

Abstract

This study investigates the impacts of global economic policy uncertainty (GEPU) and domestic (Chinese) economic policy uncertainty (CEPU) on the long-run volatility of the tourism stock market in China based on an improved GARCH–MIDAS–X model. Empirical results reveal that both CEPU and GEPU have significant negative effects on the long-run volatility of China’s tourism stock market. It is further identified that the impact of GEPU on tourism companies’ performance is short-lived. The findings suggest that tourism-related practitioners should monitor both CEPU and GEPU when conducting risk assessments related to tourism investment and policymaking.

Original language	English
Pages (from-to)	567-591
Number of pages	25
Journal	Tourism Economics
Volume	30
Issue number	3
Early online date	10 May 2023
DOIs	https://doi.org/10.1177/13548166231173171
Publication status	Published - May 2024

Keywords

economic policy uncertainty
GARCH–MIDAS model
long-run volatility
tourism stock returns
tourism thematic index

ASJC Scopus subject areas

Geography, Planning and Development
Tourism, Leisure and Hospitality Management

More information

10.1177/13548166231173171

http://hdl.handle.net/10397/99513

Cite this

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title = "Global and domestic economic policy uncertainties and tourism stock market: Evidence from China",

abstract = "This study investigates the impacts of global economic policy uncertainty (GEPU) and domestic (Chinese) economic policy uncertainty (CEPU) on the long-run volatility of the tourism stock market in China based on an improved GARCH–MIDAS–X model. Empirical results reveal that both CEPU and GEPU have significant negative effects on the long-run volatility of China{\textquoteright}s tourism stock market. It is further identified that the impact of GEPU on tourism companies{\textquoteright} performance is short-lived. The findings suggest that tourism-related practitioners should monitor both CEPU and GEPU when conducting risk assessments related to tourism investment and policymaking.",

keywords = "economic policy uncertainty, GARCH–MIDAS model, long-run volatility, tourism stock returns, tourism thematic index",

author = "Han Liu and Peng Yang and Haiyan Song and Wu, {Doris Chenguang}",

note = "Funding Information: The author(s) disclosed receipt of the following financial support for the research, authorship, and/or publication of this article: The authors would like to acknowledge the National Natural Science Foundation of China (Grant No. 72004077), Humanities and Social Sciences Youth Foundation of the Ministry of Education of China (Grant No. 20YJC79007), the Fundamental Research Funds for the Central Universities, and Guangdong Basic and Applied Basic Research Foundation (Grant No. 2020B1515020031) for the financial support of the study. Publisher Copyright: {\textcopyright} The Author(s) 2023.",

year = "2024",

month = may,

doi = "10.1177/13548166231173171",

language = "English",

volume = "30",

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AU - Liu, Han

AU - Yang, Peng

AU - Song, Haiyan

AU - Wu, Doris Chenguang

N1 - Funding Information: The author(s) disclosed receipt of the following financial support for the research, authorship, and/or publication of this article: The authors would like to acknowledge the National Natural Science Foundation of China (Grant No. 72004077), Humanities and Social Sciences Youth Foundation of the Ministry of Education of China (Grant No. 20YJC79007), the Fundamental Research Funds for the Central Universities, and Guangdong Basic and Applied Basic Research Foundation (Grant No. 2020B1515020031) for the financial support of the study. Publisher Copyright: © The Author(s) 2023.

PY - 2024/5

Y1 - 2024/5

N2 - This study investigates the impacts of global economic policy uncertainty (GEPU) and domestic (Chinese) economic policy uncertainty (CEPU) on the long-run volatility of the tourism stock market in China based on an improved GARCH–MIDAS–X model. Empirical results reveal that both CEPU and GEPU have significant negative effects on the long-run volatility of China’s tourism stock market. It is further identified that the impact of GEPU on tourism companies’ performance is short-lived. The findings suggest that tourism-related practitioners should monitor both CEPU and GEPU when conducting risk assessments related to tourism investment and policymaking.

AB - This study investigates the impacts of global economic policy uncertainty (GEPU) and domestic (Chinese) economic policy uncertainty (CEPU) on the long-run volatility of the tourism stock market in China based on an improved GARCH–MIDAS–X model. Empirical results reveal that both CEPU and GEPU have significant negative effects on the long-run volatility of China’s tourism stock market. It is further identified that the impact of GEPU on tourism companies’ performance is short-lived. The findings suggest that tourism-related practitioners should monitor both CEPU and GEPU when conducting risk assessments related to tourism investment and policymaking.

KW - economic policy uncertainty

KW - GARCH–MIDAS model

KW - long-run volatility

KW - tourism stock returns

KW - tourism thematic index

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DO - 10.1177/13548166231173171

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VL - 30

SP - 567

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JO - Tourism Economics

JF - Tourism Economics

IS - 3

ER -

Global and domestic economic policy uncertainties and tourism stock market: Evidence from China

Abstract

Keywords

ASJC Scopus subject areas

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