This article investigates the performance of the stock market and its volatility in the travel and leisure industry for three Nordic countries using daily data from June 2018 to June 2020, a period that includes the first wave of Covid-19 pandemic. The methodology is based on the Markov regime switching model that allows unobservable regime shifts in the stock return relationship between the travel and leisure industry and the overall market in the period before the outbreak of Covid-19 crisis and during the recovery period at the end of the first wave. The results provide strong evidence of regime switching behaviour in the form of idiosyncratic risk as measured by volatility. The period before Covid-19 corresponds to a low/medium idiosyncratic risk, while the period of the pandemic is characterized by a regime with high idiosyncratic risk. Overall, the timing, likelihood and duration of this crisis regime depend on the composition of the travel and leisure firms. Those with a large proportion of online gambling firms perform better, while those consisting of international transportation firms, hotels and restaurants perform negatively. This study shows that the high-frequency data and the model chosen here can provide timely information on the impact of the pandemic on various tourism and leisure businesses that could be useful for policymaking.

本文使用2018年6月至2020年6月的每日数据调查了三个北欧国家的股票市场表现及其在旅行和休闲业中的波动性，这一时期包括第一波Covid-19大流行。该方法基于马尔可夫政权转换模型，该模型允许在Covid-19危机爆发之前的时期以及在2008年底的恢复期间，旅行和休闲行业与整个市场之间的股票收益率关系发生不可观察的制度转变。第一波。结果提供了强有力的证据，证明了以波动性衡量的特质风险形式的政权转换行为。Covid-19之前的时期对应于低/中等特质风险，而大流行时期的特征是具有高特质风险的制度。总体而言，这种危机发生的时间，可能性和持续时间取决于旅行社和休闲公司的组成。拥有大量在线赌博公司的公司的业绩较好，而由国际运输公司，酒店和餐馆组成的公司的业绩则较差。这项研究表明，此处选择的高频数据和模型可以及时提供有关大流行对各种旅游和休闲企业的影响的信息，这可能对政策制定有用。