This study investigates the effect of COVID-19-induced uncertainty on the overall stock market and the stock performance of the tourism and hospitality industry and its subsectors utilizing a novel time-varying robust Granger causality test. The results show that the COVID-19 pandemic–induced uncertainty has an adverse impact on the overall economy, tourism and hospitality industry, and subsectors of tourism and hospitality. However, the impact of COVID-19 pandemic–induced uncertainty is more significant in the tourism and hospitality industry and its subsectors. In particular, hotels sector has experienced the largest impact from the COVID-19 pandemic, followed by restaurants and airline sectors, respectively. Research and practical implications are discussed.
ArañaJELeónCJ (2008) The impact of terrorism on tourism demand. Annals of Tourism Research35(2): 299–315.
3.
AruobaSBDieboldFXScottiC (2009) Real-time measurement of business conditions. Journal of Business & Economic Statistics27: 417–427.
4.
BakerSRBloomNDavisSJ (2016) Measuring economic policy uncertainty*. The Quarterly Journal of Economics131: 1593–1636.
5.
BakerSRBloomNDavisSJ, et al. (2020) The unprecedented stock market impact of COVID-19. In: Technical Report. National Bureau of Economic Research.
6.
BalliFShahzadSJHSalah UddinG (2018) A tale of two shocks: what do we learn from the impacts of economic policy uncertainties on tourism?Tourism Management68: 470–475.
7.
ChenM-HKimWGKimHJ (2005) The impact of macroeconomic and non-macroeconomic forces on hotel stock returns. International Journal of Hospitality Management24(2): 243–258.
8.
ChiangLeongCHuiT-K (2014) Macroeconomic and non-macroeconomic variables linking to singapore hotel stock returns. Advances in Hospitality and Leisure10: 21–36.
9.
DasDDuttaABhadraA, et al. (2020). Role of presidential uncertainties on the hotel industry. Annals of Tourism Research81(C). DOI: 10.1016/j.annals.2019.102762.
10.
DemirEGözgörG (2018) Does economic policy uncertainty affect tourism?Annals of Tourism Research69(C): 15–17.
11.
DemiralayS. (2020). Political uncertainty and the us tourism index returns. Annals of Tourism Research. 84(C).
12.
DogruTBulutU (2018) Is tourism an engine for economic recovery? Theory and empirical evidence. Tourism Management67: 425–434.
13.
GoodrichJN (2001) Attack on America: a record of the immediate impacts and reactions in the USA travel and tourism industry. Tourism Management23(6): 573–580.
14.
GösslingSScottDHallCM (2020) Pandemics, tourism and global change: a rapid assessment of COVID-19. Journal of Sustainable Tourism29(1): 1–20.
JordàÒ (2005) Estimation and inference of impulse responses by local projections. American Economic Review95(1): 161–182.
17.
KaczmarekTPerezKDemirE, et al. (2021) How to survive a pandemic: the corporate resiliency of travel and leisure companies to the COVID-19 outbreak. Tourism Management84: 104 281
18.
KarabulutGBilginMHDemirE, et al. (2020) How pandemics affect tourism: International evidence. Annals of Tourism Research84: 102991.
19.
KosováREnzCA (2012) The terrorist attacks of 9/11 and the financial crisis of 2008. Cornell Hospitality Quarterly53(4): 308–325.
20.
MadanogluMOzdemirO (2018) Economic policy uncertainty and hotel operating performance. Tourism Management71: 443.
OzdemirODogruTKizildagM, et al. (2021) Quantifying the economic impact of COVID-19 on the US hotel industry: examination of hotel segments and operational structures. Tourism Management Perspectives39, 100864.
26.
OzdemirOKizildagMDogruT, et al. (2022) Measuring the effect of infectious disease-induced uncertainty on hotel room demand: a longitudinal analysis of US hotel industry. International Journal of Hospitality Management103, 103189.
27.
RossiB (2005) Optimal tests for nested model selection with underlying parameter instability. Econometric Theory21: 962–990.
28.
RossiBWangY (2019) Vector autoregressive-based granger causality test in the presence of instabilities. The Stata Journal: Promoting Communications on Statistics and Stata19(4): 883–899.
29.
RussyDSmithR (2013) The economic impact of H1N1 on Mexico’s tourist and pork sectors. Health Economics22(7): 824–834.
ZopiatisASavvaCSLambertidesN, et al. (2019) Tourism stocks in times of crisis: an econometric investigation of unexpected nonmacroeconomic factors. Journal of Travel Research58(3): 459–479.
