Sail Away to the Safe Harbor? COVID-19 Vaccinations and the Volatility of Travel and Leisure Companies

22 Pages Posted: 20 Apr 2021 Last revised: 26 Apr 2021

See all articles by Ender Demir

Ender Demir

Istanbul Medeniyet University

Renatas Kizys

University of Southampton, Southampton Business School, Department of Banking and Finance

Wael Rouatbi

Montpellier Business School

Adam Zaremba

Montpellier Business School; Department of Investment and Capital Markets, Institute of Finance, Poznan University of Economics and Business

Date Written: April 18, 2021

Abstract

This paper examines the impact vaccination programs have on the stock market volatility of the travel and leisure sector. Using daily data from 56 countries over the period from January 2020 to March 2021, we find that vaccination leads to a decrease in the investment risk of travel and leisure companies. The drop in volatility is robust to many alternative estimation techniques and variable specifications, and does not depend on either the pandemic or government policy responses. Furthermore, the impact of mass vaccinations on the risk of tourism companies is more substantial in emerging markets.

Keywords: COVID-19, pandemic, stock market volatility, travel and leisure, vaccinations

JEL Classification: G01, G12, G15, G18, H12, H51, I18, Q54

Suggested Citation

Demir, Ender and Kizys, Renatas and Rouatbi, Wael and Zaremba, Adam, Sail Away to the Safe Harbor? COVID-19 Vaccinations and the Volatility of Travel and Leisure Companies (April 18, 2021). Available at SSRN: https://ssrn.com/abstract=3829288 or http://dx.doi.org/10.2139/ssrn.3829288

Ender Demir

Istanbul Medeniyet University ( email )

D-100 Karayolu
Merdivenkoy Mevkii No:6/1 Goztepe/Kadıkoy
Istanbul
Turkey

Renatas Kizys

University of Southampton, Southampton Business School, Department of Banking and Finance ( email )

Room 1013, Building 4
Highfield Campus
Southampton, SO17 1BJ
United Kingdom
+442380598612 (Phone)

HOME PAGE: http://https://www.southampton.ac.uk/business-school/about/staff/rk1y18.page

Wael Rouatbi

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, 34080
France

Adam Zaremba (Contact Author)

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000
France

Department of Investment and Capital Markets, Institute of Finance, Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

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