Original scientific paper
https://doi.org/10.1080/1331677X.2023.2166968
Dynamic spillovers between precious metals and travel & tourism stocks in South-East Asia: do infectious disease outbreaks matter?
Ismail Fasanya
Oluwatomisin Oyewole
Abstract
The interconnection between travel and leisure industry and precious
metals markets has attracted a lot of interest among investors,
policy makers, practitioners and market participants. We
investigate the role of infectious diseases-based uncertainty on
the dynamic connectedness between Southeast Asia travel and
tourism stocks indices and four major precious metals namely;
gold, silver, palladium, and platinum over the period 31 March
2015 to 5 February 2021. We adopt the time-varying parameter
vector autoregressions (TVP-VAR) and the nonparametric causality-
in-quantiles approach for its methodological superiority over
linear approaches in capturing the presence of causality at different
quantiles of the commodity distribution. The following is discernible
from our analyses. First, we find strong spillovers
between the two markets, implying there are diversification
options. Second, silver and platinum are best effective portfolio
diversification tools among precious metals. Third, strong evidence
of nonlinearity makes it crucial for consideration when
examining the role of diseases-based uncertainty in affecting the
interactions between travel and tourism stocks and metals markets.
Lastly, connectedness between uncertainty due to infectious
diseases and the markets is stronger mostly around the lower
and normal quantiles. These results have important policy implications
for policymakers and market participants.
Keywords
Services industry; stock returns; precious metals; infectious diseases; market spillovers; nonlinear causality
Hrčak ID:
306475
URI
Publication date:
31.3.2023.
Visits: 371 *