Geopolitical risk can have an impact on investment behavior and rates of return. We explore the time-varying relation between the daily geopolitical risks index (GPRD) and tourism market. We use tourism tokens (TTI) and tourism equity market indices (WHRL) as proxies of the tourism industry. Results from DCC-GARCH analysis depict weak co-movements between GPRD-TTI and GPRD-WHRL pairs. However, concerning time-varying Granger causality, the GPRD-WHRL pair exhibited longer periods of a significant relationship along with bidirectional causality during the Russia-Ukraine war, whereas the COVID-19 pandemic’s effect was weak in both pairs. Spillovers identified through Q-VAR analysis revealed more pronounced effects of GPRD on each variable during both market events, albeit with a more apparent and stronger influence on WHRL. These findings suggest that the cryptocurrency market may not consistently and effectively incorporate geopolitical risk factors, whereas equity markets demonstrate a greater capacity to capture and respond to such risk factors.
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