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This study examines the impact of changes in consumer confidence and uncertainty related to economic policy, financial markets, and the crude oil market, on the returns and risk of the UK travel and leisure stock index. Using monthly data from November 2005 to February 2021 and applying quantile regressions and copula-based conditional value-at-risk (CoVaR) measures, the results are as follows. First, consumer confidence and uncertainties significantly impact the travel and leisure index returns across various quantiles, however, the impact is stronger at the left tail than the right tail; furthermore, the sign and magnitude of the impact differ across the various uncertainty measures. Second, there are significant upside and downside extreme risk spillovers from the extreme movements in the consumer confidence and uncertainty indices to travel and leisure index returns, with evidence of an asymmetric impact. Third, the results are influenced by the COVID-19 pandemic and global financial crisis. These findings have implications for market participants, such as portfolio managers, individual and institutional investors, and policymakers in the UK travel and leisure industry. [ABSTRACT FROM AUTHOR]

In this paper, we analyze contagion over the daily period of January 1, 1998 to September 13, 2018 between Real Estate Investments Trusts (REITs) and the equity markets of 19 countries, which are at their different stages of development in terms of the REITs market. For our purpose, we use the local Gaussian correlation approach during the dot‐com, global financial, European sovereign debt crises and the more recent period involving the Brexit in the UK. The employed method not only avoids the bias of the conditional correlation, but also describes any nonlinear structure in dependence and the deviation from global normality. In general, we find strong evidence of nonlinear contagion between equities and REITs of not only matured and established markets, but also in economies with an emerging REITs sector, especially during the global financial and sovereign debt crises. Further, when we considered contagion across REITs of the US and the other countries, and between US REITs and equities of the remaining 18 countries, a similar pattern emerges. Our results have important implications for investors and policymakers alike. [ABSTRACT FROM AUTHOR]

Unlike previous studies, we examine which of the implied volatilities of US stock and crude oil markets are more suitable and effective hedge for the downside risk of US travel and leisure (T&L) stocks. Using the corrected dynamic conditional correlation process, the results show that the T&L stock index is more negatively and more consistently correlated with the implied volatility of crude oil prices, suggesting that the oil implied volatility is a more suitable hedging asset. Similar results are reported for France, the United Kingdom, and developed markets. They are robust to the frequency of the data and model specification. Furthermore, the hedge ratios vary over time, which requires a regular update of hedged positions. Importantly, the highest hedge effectiveness is associated with the oil implied volatility. [ABSTRACT FROM AUTHOR]

This study explores the dynamic effects of different oil shocks on real exchange rates in net oil importers and exporters. Specifically, the connectedness measures are combined with the structural vector autoregressive model. The findings show that oil supply shocks have a larger depreciating influence on exchange rates in oil exporters than in importers. All countries are generally more sensitive to oil-specific demand shocks, and this sensitivity can lead to a significant appreciation in real exchange rates, except in Japan and the United Kingdom. Further, the spillover effect between oil shocks and exchange rates has strengthened after the global financial crisis of 2007–08. Our findings provide useful implications for the policy-makers and market risk managers to effectively avoid exchange rate risk induced by oil shocks. [ABSTRACT FROM AUTHOR]