Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/337858 
Year of Publication: 
2025
Citation: 
[Journal:] Annals of Tourism Research Empirical Insights [ISSN:] 2666-9579 [Volume:] 6 [Issue:] 2 [Article No.:] 100197 [Year:] 2025 [Pages:] 1-13
Publisher: 
Elsevier, Amsterdam
Abstract: 
This research investigates the impact of investor sentiment and macroeconomic shocks on the volatility of China's tourism stocks during the COVID-19 recovery period, specifically from March 2020 to December 2022. By analyzing daily data from 20 publicly listed tourism companies using GARCH family models, the study distinguishes between a Crisis Phase (from March 2020 to February 2022) and a Recovery Phase (from March to December 2022). The findings indicate that during the Crisis Phase, investor sentiment and anxiety related to the pandemic heightened volatility, resulting in a 6.2 % contraction in tourism GDP. After March 2022, the impact of pandemic-related fears began to diminish. The analysis also reveals bidirectional volatility spillovers among different tourism subsectors, indicating that market sentiment plays a significant role in contributing to this volatility. The study highlights the importance of investor education and institutional reforms in mitigating herd behavior and stabilizing a key sector of China's economy.
Subjects: 
Chinese tourism industry
GARCH models
Investor sentiment
Post-pandemic
Tourism stocks
Volatility
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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