Connectedness between travel & tourism tokens, tourism equity, and other assets
Document Type
Article
Publication Date
5-1-2023
Abstract
We examine the return and volatility connectedness between travel & tourism tokens and other financial assets, including travel and tourism stocks, energy (WTI oil), cryptocurrency (bitcoin) and bonds, gold, the US dollar, using a generalized vector autoregressive framework. Findings show, in normal economic periods, only weak static spillovers between travel & tourism tokens and other assets. However, dynamic analysis reveals increased intensity of spillovers between travel & tourism tokens and other assets during COVID-19. Results are consistent with travel & tourism tokens offering diversification, including surprisingly to equity of the travel and tourism industry, during downturns that particularly impact tourism.
Publication Title
Finance Research Letters
DOI
10.1016/j.frl.2022.103595
Recommended Citation
Yousaf, Imran; Abrar, Afsheen; and Goodell, John W., "Connectedness between travel & tourism tokens, tourism equity, and other assets" (2023). Kean Publications. 165.
https://digitalcommons.kean.edu/keanpublications/165