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Persistence of Travel and Leisure Sector Equity Indices

Andraz, J., R. Guerreiro, P.M.M. Rodrigues (2018), "Persistence of Travel and Leisure Sector Equity Indices", Empirical Economics, 54(4), 1801-1825.
Abstract:

Volatility persistence of travel and leisure sector equity indices and of some of its components is analyzed, and tests of whether persistence has changed over time are performed. Given the typical leading indicator behavior of financial variables, understanding and characterizing the properties of these indices may help shed light on the behavior of the tourism sector and of its resilience to crises. For the purpose of analysis, our sample is split into three subsamples according to the World tourism cycle: (i) from January 1996 to December 2002; (ii) from January 2003 to August 2007; and (iii) from September 2007 to July 2014. Results suggest the existence of long-memory dynamics driving series volatility, and that shocks to volatility tend to be more persistent during periods of turmoil and affect regions differently.