Analysis of Volatility Spillovers and Connectedness in the Market Capitalization of the Tourism Industry

This study aims to empirically analyze volatility spillovers and connectedness among major companies in the Korean tourism industry using the Connectedness Model proposed by Yilmaz and Diebold (2012). The analysis focuses on 23 major tourism companies included in the TS-30 Tourism Industry Index, utilizing daily market capitalization change from 2011 to 2024. Yilmaz and Diebold's Spillover Index was applied to quantify the direction and magnitude of information spillovers between companies. Additionally, a spillover network was visualized to evaluate the interactions among companies and compared to the overall market (KOSPI). During the period of significant external shocks such as COVID-19, volatility spillovers among companies increased, reinforcing connectedness within the tourism industry. Notably, travel agencies and casino sectors played a central role as key contributors to information spillovers, while theme parks and hotel/duty-free sectors demonstrated dependent characteristics. This study provides an in-depth analysis of volatility spillovers and connectedness among companies in the tourism industry, contributing to a better understanding of the structural characteristics and resilience of the industry during external shocks. The findings offer policy implications for enhancing the stability and resilience of the tourism industry and offer practical advice on how investors and policymakers can manage risks effectively.