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

Tang, Jiechen, Ramos, Vicente, Cang, Shuang and Sriboonchitta, Songsak (2017) An empirical study of inbound tourism demand in China: a copula-GARCH approach. Journal of Travel and Tourism Marketing, 34 (9). pp. 1235-1246. ISSN 1054-8408

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Official URL: https://doi.org/10.1080/10548408.2017.1330726

Abstract

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.

Item Type: Article
Uncontrolled Keywords: Tourism demand, tourist arrivals, logarithm monthly tourist arrivals rate, copula-GARCH approach, volatility, conditional dependence, tail dependence
Subjects: N500 Marketing
N800 Tourism, Transport and Travel
Department: Faculties > Business and Law > Newcastle Business School > Business and Management
Depositing User: Paul Burns
Date Deposited: 29 Nov 2018 16:22
Last Modified: 14 May 2019 09:47
URI: http://nrl.northumbria.ac.uk/id/eprint/36974

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