Financial Volatility Spillovers and Risk Dynamics in Global Tourism: Evidence From Equity and Bond Markets

Abstract

This study explores the financial volatility and asset interdependence in the global tourism sector by examining spillover dynamics between tourism equities and both green and non-green financial assets from global stock and bond markets. Utilizing a combination of risk-adjusted return metrics, Value at Risk (VaR), Conditional VaR (CVaR), wavelet coherence, and Quantile Vector Autoregression (QVAR), the analysis reveals that while tourism equities offer the highest risk-adjusted returns, they also carry significant downside risk—particularly during periods of financial distress. Wavelet analysis uncovers pronounced short- and medium-run volatility in tourism stocks, and QVAR results demonstrate high spillover intensity, with connectedness surpassing 83% in both bull and bear markets. Notably, conventional and green equities do not consistently serve as effective hedges for tourism investments, although green bonds may offer some diversification benefits during stable periods. These findings may offer indicative evidence for international investors, financial analysts, and policymakers aiming to improve asset allocation, enhance risk awareness, and inform investment planning in tourism-dependent economies. By highlighting patterns of market interconnectedness, the study may inform portfolio strategies under conditions of rising global uncertainty.