Airline stocks and Travel & Leisure sector conditions: A cross-quantilogram analysis across regions and horizons

The Travel and Leisure (T&L) sector and the airline industry are deeply interconnected parts of global financial markets. Understanding how T&L conditions shape airline stock returns across different market phases is essential for sound investment and risk management decisions. We hypothesize a bidirectional and asymmetric relationship that intensifies under extreme market conditions and over shorter time horizons. Using 1193 synchronized daily observations from 2 January 2015 to 26 June 2025, airline returns across Europe, North America, and Asia-Pacific are analyzed against regional and global STOXX T&L indices via the cross-quantilogram framework. Results confirm asymmetric dependence concentrated in joint extreme states, particularly during downturns and over the short term. Regional indices capture local market characteristics more effectively, while the global index suits internationally active airlines. Overall, airline and T&L interdependence is dynamic, driven by market regime and time horizon, with implications for risk assessment, portfolio construction, and broader tourism industry resilience.