Is AI cable news-based economic policy uncertainty predicting travel and leisure stock returns in the USA, EU, and China?

Bai Y., USMAN O., Ozkan O.

Current Issues in Tourism, 2024 (SSCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2024
  • Doi Numarası: 10.1080/13683500.2024.2440089
  • Dergi Adı: Current Issues in Tourism
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, Aquatic Science & Fisheries Abstracts (ASFA), CAB Abstracts, Geobase, Hospitality & Tourism Complete, Hospitality & Tourism Index, PAIS International, Veterinary Science Database
  • Anahtar Kelimeler: AI Cable news networks, economic policy uncertainty, tourism stock markets
  • İstanbul Ticaret Üniversitesi Adresli: Evet

Özet

We investigate the predictive content of AI cable news-based economic policy uncertainty (TVEPU) for travel and leisure stock returns in the USA, European Union, and China. Using the Rolling Windows Wavelet Quantile Granger Causality technique, we find that the predictive content of TVEPU varies across time, frequencies, and quantiles. When the travel and leisure stock market is bearish or bullish, the predictive content of TVEPU is stronger in the long run. However, when the travel and leisure stock market is normal, the predictability is stronger in the short run. These findings are supported by the outcomes of the network connectedness analysis.