Impact of COVID-19 on the connectedness across global hospitality stocks. (July 2022)

• Record Type: Journal Article
• Authors: Hadi, Dlawar Mahdi; Naeem, Muhammad Abubakr; Karim, Sitara
• Is Part Of: International journal of hospitality management. Volume 104(2022)
• Publication Date: 2022-07
• Subjects: COVID-19 -- Hospitality stocks -- Connectedness -- TVP-VAR; Hotel management -- Periodicals; Restaurant management -- Periodicals; Food service management -- Periodicals; Hôtels -- Gestion -- Périodiques; Restaurants -- Gestion -- Périodiques; Services alimentaires -- Gestion -- Périodiques; Food service management; Hotel management; Restaurant management; Periodicals; 647.94
• DOI: 10.1016/j.ijhm.2022.103243
• Languages: English
• ISSNs: 0278-4319

Abstract

Abstract: This study investigated the connectedness of top ten hospitality stocks in the world and the impact of the COVID-19 pandemic on this connectedness. For this purpose, we employ the time-varying parameter vector autoregressions (TVP-VAR) to examine the return connectedness among the world's top ten hospitality stocks. We further utilize the wavelet coherence measure to test the impact of COVID-related indexes on the connectedness across the hospitality stocks from January 1, 2020 to July 16, 2021. Our findings explore a strong connectedness among the hospitality stocks, although the total connectedness index is considerably affected by the first wave, the second wave, and the approval of COVID-19 vaccines. France and UK hospitality stocks appeared to be dominant and were the highest net transmitters of spillover shocks to other sample stocks. We document that the COVID-19 pandemic is the prime driver of the hospitality stocks' connectedness during the sample period. Aside from the contribution to hospitality and finance literature, our conclusions and implications can also benefit parties such as hospitality firm managers, investors, portfolio managers, and policymakers. Highlights: Global hospitality stocks are strongly connected. France and UK hospitality stocks are dominant and are highest net transmitters of spillover shocks to others. Global travel and leisure stocks are negatively affected by COVID-19 pandemic. Total connectedness index is affected by different waves and the approval of COVID-19 vaccines. COVID-19 measures appeared to lead this connectedness during the pandemic.