Cyclical Dynamics of Tourism-Linked Exchange-Traded Funds: A Time-Varying Intra-Market Perspective

<title>Abstract</title> <p> This study investigates the volatility spillover and the dynamic connectedness in the tourism sector using tourism-linked exchange-traded funds (ETFs) from March 11, 2020 to November 14, 2025. By adopting multiple methods of Value-at-Risk (VaR), Conditional VaR (CVaR), wavelet coherence, and Quantile Vector Autoregression (QVAR), the study emphasizes that tourism-linked ETFs are exposed to significant downside and systematic (market) risks, implying their sectoral vulnerability - notably during heightened financial stress. Wavelet analysis elucidates a surge in volatility fluctuations at short- and medium-run frequencies, limiting diversification potential and pronounced assets’ sensitivity to market risk, and QVAR approach reveals substantial spillover, with dynamic connectedness remaining notably high across both bear and bull market conditions. Volatility transmission is found to be non-linear and regime-dependent towards a marked increase during both bear and bull markets. Notably, extreme losses are much more likely than under a normal distribution and co-movements of extreme returns during crisis periods. <bold>JEL Classifications:</bold> F21, G00, G12 </p>