Multi-scale impacts of oil shocks on travel and leisure stocks: A MODWT-Bayesian TVP model with shrinkage approach

Abstract

The study applies a Maximal overlap discrete wavelet transform process and time-varying parameter model with shrinkage approaches to explore the effects of oil prices on the travel and leisure (T&L) industry in different scales and regions. Overall, our results suggest that fluctuations in oil prices generally raise the volatility of travel and leisure stocks. Effects of oil shocks are significantly time-varying in the short to medium term but relatively stable in the long term. In addition, time scale and regional heterogeneity arise in the impacts of oil shocks. The North American market is similar to the Global market in that oil shocks have a solid time-varying effect on the travel and leisure industry. The Europe and Asia-Pacific markets are affected by oil prices in the medium term but are much weaker than the North American market.