A carregar...
Publicação
Persistence of travel and leisure sector equity indices
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 835.37 KB | Adobe PDF |
Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Long memory Persistence breaks Crises Tourism
Contexto Educativo
Citação
Editora
Springer