Volatility spillover between tourism tokens and travel and tourism subsector indices and its implications on portfolio risk management

This study investigates the volatility spillover between tourism tokens and travel and tourism (T&T) subsector indices, using Diebold and Yilmaz (2012) approach in both the static and dynamic time domains. The study’s sample period is the daily data from December 2021 to September 2024 for three major tourism tokens and six T&T subsector indices. The empirical findings suggest a weak and time-varying interdependency between tourism tokens and T&T subsectors. The results also reveal that tourism tokens offer portfolio diversification and enhance hedging performance. This study thus provides useful insights for individual investors, portfolio managers and policymakers.