ABSTRACT
COVID-19 seriously affects the tourism and hospitality industry. In this study, we investigate the behavior of 40 tourism and hospitality stock market indices worldwide from two perspectives. First, empowered by the Granger causality test and network analysis, we test the spillover effects among these stock markets and find that the dynamics of interconnectedness network structures differ significantly in the pre-pandemic and in-pandemic periods. Second, we employ econometric models to explore how the influence of COVID-19 on these stock markets varies by considering the interconnectedness structure, the government response stringency index, and other country-level characteristics. We find that the interconnectedness structure significantly and robustly affects stock returns in the tourism and hospitality markets. Our investigation provides a better understanding of the impact of COVID-19 on tourism and hospitality industry.