Volatility spillovers and time varying correlation for Chinese tourism firms

GÖKMENOĞLU KARAKAYA K., Hadood A. A.

Asia Pacific Journal of Tourism Research, vol.24, no.6, pp.584-596, 2019 (SSCI) identifier

  • Publication Type: Article / Article
  • Volume: 24 Issue: 6
  • Publication Date: 2019
  • Doi Number: 10.1080/10941665.2019.1610003
  • Journal Name: Asia Pacific Journal of Tourism Research
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.584-596
  • Keywords: Asia Pacific, BEKK-GARCH model, China, firm stock prices, foreign exchange rate transitions, portfolio diversification, time-varying correlation, tourism industry, traders strategy, Volatility spillover
  • Ankara Haci Bayram Veli University Affiliated: Yes

Abstract

© 2019, © 2019 Asia Pacific Tourism Association.This paper analyses the volatility spillover between foreign exchange rate and tourism firm stock returns for the case of China 4 July 2011 to 27 September 2018 period which covers the post-transition of Chinese managed floating exchange rate regime. Utilizing the BEKK-GARCH model, the empirical results indicate that there is bidirectional long-term spillover volatility between the variables under investigation. Our findings provide a new insight to portfolio managers about how the volatility is transferred between foreign exchange rate and tourism firm stock returns, and to which extent they are correlated over time. These elements are essential for portfolio diversification.