Sail away to a safe harbor? COVID-19 vaccinations and the volatility of travel and leisure companies
Sail away to a safe harbor? COVID-19 vaccinations and the volatility of travel and leisure companies
This paper examines the impact of vaccination programs on the stock market volatility of the travel and leisure sector. Using daily data from 56 countries over the period from January 2020 to March 2021, we find that vaccination leads to a decrease in the investment risk of travel and leisure companies. Vaccination results in a decrease in the volatility of stock prices of travel and leisure companies. The drop in volatility is robust to many alternative estimation techniques, different volatility measures, and various proxies for vaccinations. Moreover, this effect cannot be explained by an array of control variables; this includes the pandemic itself and both the containment and closure policies that followed. Furthermore, the beneficial role of vaccinations is relatively stronger in emerging markets than in developed ones.
COVID-19, pandemic, stock market volatility, travel and leisure, vaccinations
Demir, Ender
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Kizys, Renatas
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Rouatbi, Wael
9c63195f-3ec5-4051-a66c-d218e3e99af5
Zaremba, Adam
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14 April 2022
Demir, Ender
788d39be-2118-4b68-aedb-80b31749d2f2
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Rouatbi, Wael
9c63195f-3ec5-4051-a66c-d218e3e99af5
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6
Demir, Ender, Kizys, Renatas, Rouatbi, Wael and Zaremba, Adam
(2022)
Sail away to a safe harbor? COVID-19 vaccinations and the volatility of travel and leisure companies.
Journal of Risk and Financial Management, 15 (4), [182].
(doi:10.3390/jrfm15040182).
Abstract
This paper examines the impact of vaccination programs on the stock market volatility of the travel and leisure sector. Using daily data from 56 countries over the period from January 2020 to March 2021, we find that vaccination leads to a decrease in the investment risk of travel and leisure companies. Vaccination results in a decrease in the volatility of stock prices of travel and leisure companies. The drop in volatility is robust to many alternative estimation techniques, different volatility measures, and various proxies for vaccinations. Moreover, this effect cannot be explained by an array of control variables; this includes the pandemic itself and both the containment and closure policies that followed. Furthermore, the beneficial role of vaccinations is relatively stronger in emerging markets than in developed ones.
Text
jrfm-15-00182-v2
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More information
Accepted/In Press date: 10 April 2022
Published date: 14 April 2022
Additional Information:
Funding Information:
Funding: Ender Demir acknowledges the financial support of the Spanish Ministry of Science and Innovation (grant no. PID2020-114797GB-I00].
Publisher Copyright:
© 2022 by the authors. Licensee MDPI, Basel, Switzerland.
Keywords:
COVID-19, pandemic, stock market volatility, travel and leisure, vaccinations
Identifiers
Local EPrints ID: 467490
URI: http://eprints.soton.ac.uk/id/eprint/467490
PURE UUID: 54d2fff1-b02a-4d04-8715-993647dbec12
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Date deposited: 11 Jul 2022 16:45
Last modified: 18 Mar 2024 03:52
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Author:
Ender Demir
Author:
Wael Rouatbi
Author:
Adam Zaremba
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