An analysis of travel-tourism stock returns in the wake of the COVID-19 pandemic: Evidence from the five most visited countries

This paper examines the effects of the COVID-19 pandemic on the travel-tourism stock markets. Specifically, it considers the five most visited countries: France, Spain, the US, China, and Italy. Unlike previous studies, it estimates time-varying VAR (TVP-VAR) models, including daily observations of confirmed COVID-19 cases, economic activity, CDS spreads and the returns of travel-tourism sectors. In brief, our findings indicate that the effects of COVID-19 vary across countries, as well as over time. Specifically, increasing numbers of cases initially had a negative and significant impact on the travel-tourism stock returns of all countries. However, this effect had become insignificant by early April 2020. The travel-tourism markets of the European countries were seen to be more heavily affected by COVID-19 when compared to China and the US, with China seeming to have been the least affected country of all. Overall, our results are essential in understanding the impact of the COVID-19 pandemic on the travel-tourism stock markets, and are of particular importance to policymakers, portfolio managers and investors.