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Extreme risk connection among the European Tourism, energy and carbon emission markets
Research in International Business and Finance, Volume: 74, Start page: 102693
Swansea University Author:
Mohammad Abedin
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© 2024 The Author(s). This is an open access article under the CC BY license.
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DOI (Published version): 10.1016/j.ribaf.2024.102693
Abstract
This article presents a novel examination of the risk connectedness patterns and causality relationships between European Tourism and the Energy and Carbon Emissions Market. The findings indicate that the risk connectedness between European Tourism and the Energy and Carbon Emissions Market exhibits...
Published in: | Research in International Business and Finance |
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ISSN: | 0275-5319 |
Published: |
Elsevier BV
2025
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Online Access: |
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URI: | https://cronfa.swan.ac.uk/Record/cronfa68497 |
Abstract: |
This article presents a novel examination of the risk connectedness patterns and causality relationships between European Tourism and the Energy and Carbon Emissions Market. The findings indicate that the risk connectedness between European Tourism and the Energy and Carbon Emissions Market exhibits asymmetric characteristics, displaying weaker connectedness in median and high states compared to normal market conditions. Notably, connectedness is more pronounced in extreme tail cases. Additionally, the European Tourism Sector Index is less susceptible to risks in the European Energy and Carbon Emissions market during bear markets. Furthermore, Rotterdam Coal Futures and Dutch TTF Natural Gas Futures contribute significantly to the volatility connectedness of the European Tourism Sector Index. The findings of the quantile Granger causality test confirmed the existence of causality between the European Tourism Index and the European Energy and Carbon Markets across all market states. |
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Keywords: |
European tourism sector index; European energy and carbon emissions market; Quantile connectedness; Risk spillover; Quantile granger causality |
College: |
Faculty of Humanities and Social Sciences |
Funders: |
Swansea University |
Start Page: |
102693 |