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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
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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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).

Record type: Article

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.

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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
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 11 Jul 2022 16:45
Last modified: 23 Jul 2022 02:25

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Contributors

Author: Ender Demir
Author: Renatas Kizys ORCID iD
Author: Wael Rouatbi
Author: Adam Zaremba

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