The impact of COVID-19 on the travel and leisure industry returns: Some international evidence

This research crucially investigates COVID-19 variables’ impacts on the changing distributions of travel and leisure industry returns across 65 countries via a quantile regression model that uses daily data from December 2019 to May 2020 to provide early evidences from a panel of countries. We find that the change rate in COVID-19 deaths exerts more substantial negative effects on industry returns at majority quantiles than does the impact from the number of confirmed cases. The latter number only saliently and negatively influences the lowest return quantiles, revealing a nonlinear effect of confirmed cases. The study identifies a V-shape correlation between the number of cases recovered and travel and leisure industry returns (i.e. a negative impact at the lower quantiles, but a positive impact at higher quantiles) across return quantiles. This likely denotes that confirmed cases grow exponentially and that their effect may overwhelm the impact of the number of recovered cases. Lastly, this study presents a positive correlation between government response stringency index and returns.