Nexus Between Travel & Leisure Stocks and Uncertainties: An Extreme Risk Spillover Analysis

The paper examines the presence of risk spillover to US travel & leisure industry from extreme changes in uncertainties. More specifically, using a time-varying copula based conditional Value-at-Risk (CoVaR) framework, we evaluate dynamic impact uncertainties on by taking into consideration uncertainty economic policy, equity market conditions, and crude oil prices. findings indicate significant inverse relationship between returns variables. results further stronger sensitivity toward financial We find evidence upside downside excessive downward upward respectively. also demonstrate asymmetric effect movements factors tail industry. study have ramifications for managers, portfolio managers investors.