The effect of the COVID-19 outbreak on hospitality and tourism stock returns in Thailand

ABSTRACT

This study examines the volatility transmission effects between stock returns and the growth rate of total confirmed COVID-19 cases by using daily data of the hospitality and tourism industry taken from the Stock Exchange of Thailand (SET) index. Augmented Dicky–Fuller (ADF), Phillips–Perron (PP), Kwiatkowski–Phillips–Schmidt–Shin (KPSS), Elliott–Rothenberg–Stock (ERS) and Ng–Perron (NP) unit root tests were used to test, for both series are stationary. The BEKK-GARCH methodology was employed to formulate conditional variance-covariance equations. The results reveal that the pandemic interacts negatively with stock returns from the hospitality and tourism industry. Stock market returns are significantly negatively associated with daily growth in total confirmed COVID-19 cases.

KEYWORDS:

• COVID-19
• the BEKK-GARCH model
• stock return market
• Thailand

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Notes on contributors

Surachai Chancharat

Surachai Chancharat, hold a PhD in Economic from the University of Wollongong (Australia), and is Associate Professor in Economics at the Faculty of Business Administration and Accountancy, Khon Kaen University (Thailand). His research interests are financial economics, behavioral finance, and applied econometrics.

Supawat Meeprom

Supawat Meeprom, hold a PhD in Marketing and Event Management from Macquarie University (Australia), and is Assistant Professor at the Faculty of Business Administration and Accountancy, Khon Kaen University (Thailand). His research interests are service branding, special event and destination marketing, customer engagement, and consumer behaviour.