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Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism

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Chang, Chia-Lin and Hsu, Hui-Kuang and McAleer, Michael (2013) Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 01, 2013, ] (Unpublished)

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Official URL: http://eprints.ucm.es/17679/


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Abstract

This paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA-AGARCH, in the volatility specification. Daily data from 1 July 2008 to 29 June 2012 for 999 firms are used, which covers the Global Financial Crisis. The empirical findings indicate that there are size effects on volatility spillovers from the exchange rate to firm performance. Specifically, the risk for firm size has different effects from the three leading tourism sources to Taiwan, namely USA, Japan, and China. Furthermore, all the return series reveal quite high volatility spillovers (at over sixty percent) with a one-period lag. The empirical results show a negative correlation between exchange rate returns and stock returns. However, the asymmetric effect of the shock is ambiguous, owing to conflicts in the significance and signs of the asymmetry effect in the two estimated multivariate GARCH models. The empirical findings provide financial managers with a better understanding of how firm size is related to financial performance, risk and portfolio management strategies that can be used in practice.


Item Type:Working Paper or Technical Report
Additional Information:

For financial support, the first author is most grateful to the National Science Council, Taiwan, and the third author wishes to acknowledge the Australian Research Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science.

Uncontrolled Keywords:Tourism, Size effects, Small-firm effects, Financial performance, Spillover effects, MGARCH, VARMA, BEKK.
Subjects:Social sciences > Economics > Tourism
Social sciences > Economics > Econometrics
JEL:C22, G32, L83
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2013
Number:01
ID Code:17679
Deposited On:15 Jan 2013 13:09
Last Modified:17 Jun 2016 09:52

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