ABSTRACT
This paper investigates the interconnectedness among 95 tourism firms in the U.S. over the 2018–2020 period with a focus on the impact of the Covid-19 pandemic. The results using tail risk spillover analysis show that the level of risk contagion significantly increased during the Covid-19 pandemic. Small tourism firms become more systemically important during the Covid-19 pandemic while the level of bad risk contagion has a negative impact on the stock performance of US tourism firms.
Disclosure statement
No potential conflict of interest was reported by the author(s).
Notes
1 In our case, the VaR is calculated at 5%.
2 Refer to Härdle et al. (Citation2016) for details about the parameters’ estimation using moving window w.
3 To save space, we only present the graphs for four stocks in the text. Those of the other 91 firms are available upon request.
4 A complete list of the 95 firms in the sample with indications on their ticker and complete names are available upon request.
5 See Härdle et al. (Citation2016) for further details.
6 We also calculate the bad-bad contagion index developed by Londono (Citation2019) as a robustness check and results are similar. Those results are available from authors on request.