The study evaluates the return and volatility transmission between the health and tourism stocks. The outbreak of covid-19 pandemic brought about an unprecedented crisis in the global health and financial market with the tourism sector being among the largest casualty as it experienced an almost total collapse as a result of economic lockdowns and movement restrictions, while the health sector witnessed considerable boom. We employ the VARMA–CCC-AGARCH model, based on the preliminary tests, on daily data collected for health and tourism stocks between January 02, 2018 and July 09, 2020. The empirical estimation is also partitioned into full, pre-covid-19 and covid-19 periods to elicit the impact of the pandemic outbreak. We further examine the optimal weights of holding health and tourism stocks and compute the hedging ratios in the presence of health risks. Our empirical findings show evidence of significant negative bidirectional return spillover between the health and tourism sectors particularly during the covid-19 period. In addition, the hedge ratios further confirm the hedging effectiveness of health stocks for risks associated with tourism stocks particularly during the pandemic period. Essentially, our results show that a diversified asset portfolio that includes health together with tourism stocks may improve risk-adjusted return performance for investors especially during pandemics.

该研究评估了健康和旅游业股票之间的收益率和波动率传递。covid-19大流行的爆发给全球卫生和金融市场带来了前所未有的危机，旅游业是最大的人员伤亡之一，由于经济封锁和行动限制，旅游业几乎完全崩溃，而卫生部门目睹了这一事件。蓬勃发展。在初步测试的基础上，我们采用VARMA–CCC-AGARCH模型，基于2018年1月2日至2020年7月9日之间收集的保健和旅游业股票的每日数据。经验估计也划分为19份之前的完整数据和covid-19时期引起大流行爆发的影响。我们进一步检查持有健康和旅游业股票的最佳权重，并在存在健康风险的情况下计算套期保值比率。我们的经验发现表明，尤其是在covid-19期间，卫生和旅游业之间存在显着的负双向回报溢出效应。此外，套期保值比率进一步证实了保健类股票对与旅游类股票相关的风险的套期有效性，特别是在大流行时期。本质上，我们的结果表明，包括健康和旅游股在内的多元化资产组合可能会改善投资者的风险调整后的回报表现，尤其是在大流行期间。我们的经验发现表明，尤其是在covid-19期间，卫生和旅游业之间存在显着的负双向回报溢出效应。此外，套期保值比率进一步证实了保健类股票对与旅游类股票相关的风险的套期有效性，特别是在大流行时期。本质上，我们的结果表明，包括健康和旅游股在内的多元化资产组合可能会改善投资者的风险调整后的回报表现，尤其是在大流行期间。我们的经验发现表明，尤其是在covid-19期间，卫生和旅游业之间存在显着的负双向回报溢出效应。此外，套期保值比率进一步证实了保健类股票对与旅游类股票相关的风险的套期有效性，特别是在大流行时期。本质上，我们的结果表明，包括健康和旅游股在内的多元化资产组合可能会改善投资者的风险调整后的回报表现，尤其是在大流行期间。