Abstract:

The tourism sector can be significantly affected by both systematic and non-systematic risk factors. Geopolitical and political risks, global uncertainties, and economic developments are some of the uncertainties that can impact the sector. This situation not only affects the sector itself and consequently the economy, but also investor decisions in capital markets. The aim of this study is to examine the long-term asymmetric relationship between the VIX fear index and Tourism Indices in Turkey and selected countries using the NARDL method. The study also investigates the long-term relationship of the Geopolitical Risk Index (GPR) and the Global Economic Policy Uncertainty Index (GEPU) on tourism indices using the ARDL and NARDL methods. The analysis period covers monthly data from 01.2010 to 06.2023. In the model established for each country, the dependent variables used are Turkey (BIST Tourism), UK (FTSE 350 Travel & Leisure), US (Dow Jones Travel & Leisure), Italy (FTSE Italia All Share Travel & Leisure), and China (FTSE China Travel & Leisure) indices. The natural logarithms of all included variables are taken in the study. According to the unit root test results, it is determined that the GPR, GEPU, and VIX variables are stationary at the I(0) level, while the other variables are stationary at the I(1) level. In the study, Linear and Nonlinear ARDL Model Cointegration Test results for the UK, US, and Italy demonstrate a cointegration relationship among the variables. For Turkey, it is determined that there is no cointegration relationship among the variables in both ARDL and NARDL models. The results indicate that the negative shocks of the VIX index have a more dominant effect on the tourism indices of the UK, US, and Italy stock markets.

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