A statistical assessment of ESG uncertainty and tourism equity returns through asymmetric wavelet quantile regression

Abstract

This study examines the asymmetric effect of ESG uncertainty (ESGUI) on U.S. tourism equity returns over the period 2005:07–2025:04. To provide a richer statistical account of this relationship, the study applies an asymmetric wavelet quantile regression framework that jointly captures distributional heterogeneity, frequency-specific dynamics, and sign asymmetry. The results show that aggregate ESGUI is insignificant in the short term across all quantiles, but becomes positive in the medium term at the extreme lower tails (0.01–0.05) and middle-to-upper quantiles (0.40–0.80), while in the long term it remains positive at the lower quantiles (0.01–0.40) and turns negative at the upper quantiles (0.80–0.90). Positive ESGUI shocks exert a short-run negative effect only at the 0.30 quantile, but become supportive in the medium term at (0.01) and across (0.30–0.90), while in the long term they are negative at the lower tail (0.01–0.30) and positive from (0.40–0.99). Negative ESGUI shocks are positive in the short term at the extreme tails (0.01 and 0.99), remain positive in the medium term at (0.01–0.10), and in the long-term support lower-tail market states (0.01–0.20) but reduces returns from the middle to upper quantiles (0.40–0.99). The study proposes policy implications based on these results.