Abstract
COVID-19-related government interventions have significantly affected tourism, while the impact of government interventions on the tourism financial market remains essentially unexplored. This paper comprehensively evaluates how COVID-19-related government interventions affected the travel and leisure stock markets based on a panel quantile regression model. Three government interventions (stringency index, containment and health index and economic support index) and two important stock market features (return and volatility) are discussed. The results reveal that the three government interventions are beneficial to the travel and leisure stock market, especially when the market is under adverse conditions. Specifically, containment and health measures lead to an increase in stock returns. Stringency measures and economic support measures promote stock return and restrain stock market volatility. This study provides significant insights for protecting and recovering the travel and leisure stock market by considering when and which government interventions should be implemented.
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