This study examined the dynamic relationships between tourism and leisure market indices and a set of macro-financial factors, including financial volatility, equity market performance, exchange rate dynamics, oil prices, and geopolitical risk. Using daily data from May 2010 to June 2026, wavelet analysis was employed to capture time–frequency co-movements across different investment horizons. The results revealed substantial heterogeneity across tourism and leisure market segments. Equity market performance and financial volatility emerged as the dominant factors associated with tourism and leisure market dynamics, exhibiting strong and persistent relationships across medium- and long-term horizons. Oil prices and geopolitical risk influence tourism markets primarily during periods of elevated uncertainty. Exchange rate dynamics play a limited role and exhibit weaker and less persistent effects. The findings revealed that tourism and leisure markets are closely interconnected with global macro-financial conditions and that the transmission of external shocks varies across market segments and investment horizons.
Citation: Oana Panazan, Catalin Gheorghe. Dynamic linkages between tourism subsectors and macroeconomic shocks: A wavelet analysis[J]. Quantitative Finance and Economics, 2026, 10(4): 753-774. doi: 10.3934/QFE.2026029
This study examined the dynamic relationships between tourism and leisure market indices and a set of macro-financial factors, including financial volatility, equity market performance, exchange rate dynamics, oil prices, and geopolitical risk. Using daily data from May 2010 to June 2026, wavelet analysis was employed to capture time–frequency co-movements across different investment horizons. The results revealed substantial heterogeneity across tourism and leisure market segments. Equity market performance and financial volatility emerged as the dominant factors associated with tourism and leisure market dynamics, exhibiting strong and persistent relationships across medium- and long-term horizons. Oil prices and geopolitical risk influence tourism markets primarily during periods of elevated uncertainty. Exchange rate dynamics play a limited role and exhibit weaker and less persistent effects. The findings revealed that tourism and leisure markets are closely interconnected with global macro-financial conditions and that the transmission of external shocks varies across market segments and investment horizons.
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Figures(5) / Tables(1)
Oana Panazan, Catalin Gheorghe. Dynamic linkages between tourism subsectors and macroeconomic shocks: A wavelet analysis[J]. Quantitative Finance and Economics, 2026, 10(4): 753-774. doi: 10.3934/QFE.2026029
Prices and returns of tourism equities and macroeconomic variables. Note: The dashed red line represents returns, and the dark blue line represents prices. Sources: Authors' elaboration
WTC between tourism and leisure market indices and selected macro-financial variables. Note: The color scale represents the intensity of wavelet coherence, with warmer colors indicating stronger co-movement. The horizontal axis represents time, and the vertical axis corresponds to frequency (scale). Arrows pointing right indicate positive co-movement (in-phase), arrows pointing left indicate negative co-movement (anti-phase), arrows pointing upward indicate that the tourism index leads the macro-financial variable, and arrows pointing downward indicate that the macro-financial variable leads the tourism index. The dashed curved line denotes the cone of influence. Source: Authors' elaboration
WTC between tourism and leisure market indices and selected macro-financial variables. Note: The color scale represents the variance distribution across time and frequency, with warmer colors indicating higher power. The vertical axis corresponds to frequency (scale), the horizontal axis to time. Source: Authors' elaboration
WTC between tourism and leisure market indices and GPR
CWT between tourism and leisure market indices and GPR index
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