Global and domestic economic policy uncertainties and tourism stock market: Evidence from China

Abstract

This study investigates the impacts of global economic policy uncertainty (GEPU) and domestic (Chinese) economic policy uncertainty (CEPU) on the long-run volatility of the tourism stock market in China based on an improved GARCH–MIDAS–X model. Empirical results reveal that both CEPU and GEPU have significant negative effects on the long-run volatility of China’s tourism stock market. It is further identified that the impact of GEPU on tourism companies’ performance is short-lived. The findings suggest that tourism-related practitioners should monitor both CEPU and GEPU when conducting risk assessments related to tourism investment and policymaking.