COVID-19’s Impact on the Travel & Leisure Indices: Volatility Spillover Analysis

The travel and leisure sector is extremely sensitive to fluctuations in economic circumstances, consumer demand, and market volatility. This sector has been greatly affected by the COVID-19 pandemic due to both travel restrictions and social distancing measures that have limited demand. This study aims to examine the impact of COVID-19 on the volatility spillovers of travel and leisure indices in nine significant markets. It examines the differences in spillover effects pre‐ and during COVID-19, employing comparative analysis. The results show that the pandemic has led to an increase in volatility spillover between travel and leisure indices. Moreover, significant changes are evident in the spillover effects between periods, reflecting the dynamic nature of volatility transmission. The results show that changes in consumer spending and restrictions on international travel in the travel and leisure industry have a bigger impact on volatility spillovers in this sector than on stock exchange indices. These outcomes hold significant implications for sector participants, underscoring the need for resilient strategies to mitigate the impact of global crises on market volatility spillovers.