An empirical study of inbound tourism demand in China: a copula-GARCH approach

© 2017 Informa UK Limited, trading as Taylor & Francis Group. This paper proposes new models for analyzing the volatility and dependence of monthly tourist arrivals to China applying a copula-GARCH approach. A desegregation of the top six origins of China inbound tourists from the period Janua...

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Main Authors: Jiechen Tang, Vicente Ramos, Shuang Cang, Songsak Sriboonchitta
Format: Journal
Published: 2018
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http://cmuir.cmu.ac.th/jspui/handle/6653943832/46482
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-464822018-04-25T07:35:47Z An empirical study of inbound tourism demand in China: a copula-GARCH approach Jiechen Tang Vicente Ramos Shuang Cang Songsak Sriboonchitta Agricultural and Biological Sciences Arts and Humanities © 2017 Informa UK Limited, trading as Taylor & Francis Group. This paper proposes new models for analyzing the volatility and dependence of monthly tourist arrivals to China applying a copula-GARCH approach. A desegregation of the top six origins of China inbound tourists from the period January 1994 to December 2013 is used in this study. The empirical results show that there is a strong seasonal effect in all cases and ​​​​​​ some habit persistence on monthly tourist arrival growth rate for South Korea, Russia, the United States (US), and Malaysia. Second, the volatilities of arrival growth rates to China are impacted significantly by their own short- and long-run effects, except for Russia and South Korea. Only short-run shock affects Russian arrivals while only long-run shocks are affecting South Korea arrivals. Third, the conditional dependence among different source countries is found to be positive and significant, but the conditional dependence for all considered pairs is low. Moreover, there is extreme co-movement (tail dependence) between the six major tourism source countries, suggesting the pairwise of international tourist arrivals shows a related increasing or decreasing pattern during extreme events. Implications are discussed and recommendations provided. 2018-04-25T06:55:37Z 2018-04-25T06:55:37Z 2017-11-22 Journal 10548408 2-s2.0-85020249463 10.1080/10548408.2017.1330726 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85020249463&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46482
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Agricultural and Biological Sciences
Arts and Humanities
spellingShingle Agricultural and Biological Sciences
Arts and Humanities
Jiechen Tang
Vicente Ramos
Shuang Cang
Songsak Sriboonchitta
An empirical study of inbound tourism demand in China: a copula-GARCH approach
description © 2017 Informa UK Limited, trading as Taylor & Francis Group. This paper proposes new models for analyzing the volatility and dependence of monthly tourist arrivals to China applying a copula-GARCH approach. A desegregation of the top six origins of China inbound tourists from the period January 1994 to December 2013 is used in this study. The empirical results show that there is a strong seasonal effect in all cases and ​​​​​​ some habit persistence on monthly tourist arrival growth rate for South Korea, Russia, the United States (US), and Malaysia. Second, the volatilities of arrival growth rates to China are impacted significantly by their own short- and long-run effects, except for Russia and South Korea. Only short-run shock affects Russian arrivals while only long-run shocks are affecting South Korea arrivals. Third, the conditional dependence among different source countries is found to be positive and significant, but the conditional dependence for all considered pairs is low. Moreover, there is extreme co-movement (tail dependence) between the six major tourism source countries, suggesting the pairwise of international tourist arrivals shows a related increasing or decreasing pattern during extreme events. Implications are discussed and recommendations provided.
format Journal
author Jiechen Tang
Vicente Ramos
Shuang Cang
Songsak Sriboonchitta
author_facet Jiechen Tang
Vicente Ramos
Shuang Cang
Songsak Sriboonchitta
author_sort Jiechen Tang
title An empirical study of inbound tourism demand in China: a copula-GARCH approach
title_short An empirical study of inbound tourism demand in China: a copula-GARCH approach
title_full An empirical study of inbound tourism demand in China: a copula-GARCH approach
title_fullStr An empirical study of inbound tourism demand in China: a copula-GARCH approach
title_full_unstemmed An empirical study of inbound tourism demand in China: a copula-GARCH approach
title_sort empirical study of inbound tourism demand in china: a copula-garch approach
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85020249463&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/46482
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