What are the implications of geopolitical risks on travel and leisure firms?

• Unveils nonlinear GPR effects on global Travel & Leisure returns. • Applies Multivariate Quantile-on-Quantile Regression with QVAR integration. • Reveals regional asymmetries: America/Europe amplify, Asia insulates. • Identifies “fear and desire” dynamics across market regimes. We investigate the impact of geopolitical risk (GPR) on global Travel & Leisure (T&L) stock returns using a Multivariate Quantile-on-Quantile Regression (MQQR) approach. Analyzing global, American, European, and Asian markets, we examine how GPR influences cross-market connectedness under different market conditions. Results reveal that the T&L sector exhibits a “fear-aspiration” dynamic, characterized by heightened vulnerability during market downturns and notable resilience during bullish conditions. American and European markets amplify global risk spillovers, whereas Asian markets act as relative buffers. Combining quantile-based vector autoregressions (QVAR) with OLS estimates, we demonstrate that GPR significantly dampens systematic return spillovers, particularly under extreme market conditions; instead, the underlying effects remain limited in normal states. These findings highlight the importance of integrating GPR measures into sector-specific stress-testing and early warning frameworks.