| By: |
Chia-Lin Chang (Department of Applied economics, Department of Finance National Chung Hsing University, Taiwan.);
Shu-Han Hsu (Department of Applied economics National Chung Hsing University, Taiwan.);
Michael McAleer (Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.) |
| Abstract: |
The number of Chinese tourists visiting Taiwan has been closely related to the
political relationship across the Taiwan Strait. The occurrence of political
events and disasters or accidents have had, and will continue to have, a huge
impact on the Taiwan tourism market. To date, there has been relatively little
empirical research conducted on this issue. In this paper, tourists are
characterized as being involved in one of three types of tourism: group
tourism (group-type), individual tourism (individualtype), and medical
cosmetology (medical-type). We use McAleer’s (2015) fundamental equation in
tourism finance to examine the correlation that exists between the rate of
change in the number of tourists and the rate of return on tourism. Second, we
use the event study method to observe whether the numbers of tourists have
changed abnormally before and after the occurrence of major events on both
sides of the Strait. Three different types of conditional variance models,
namely, GARCH (1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the
abnormal rate of change in the number of tourists. The empirical results
concerning the major events affecting the changes in the numbers of tourists
from China to Taiwan are economically significant, and confirm which types of
tourists are most likely to be affected by such major events. |
| Keywords: |
Event study, Abnormal rate of change, Chinese tourists, OLS, GARCH, GJR, EGARCH, Tourism finance. |
| JEL: |
G14 C22 C52 C58 |
| Date: |
2018–01 |
| URL: |
http://d.repec.org/n?u=RePEc:ucm:doicae:1801&r=tur |