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The impact of oil market volatility on the airline-tourism: quantile VAR approach

Wahbeeah Mohti et al.

Cogent Economics and Finance2026https://doi.org/10.1080/23322039.2026.2645745article
AJG 1ABDC B
Weight
0.50

Abstract

This study investigates the quantile-specific connectedness between global airline indices, tourism indices, oil prices and oil volatility. Quantile Vector Autoregressive (QVAR) framework is employed across three quantiles (5th, 50th and 95th) to capture the dynamic connectedness under bearish, normal and bullish market conditions with particular emphasis on COVID-19 pandemic and Russia-Ukraine war period. To understand the sector-wise behavior and to identify the shock transmission patterns across sectors, group-level net spillovers are also estimated. Results indicate that airlines consistently act as dominant shock transmitters, tourism primarily absorbs shocks and oil and oil volatility function as reactive receivers, particularly under downside stress. The findings provide valuable insights for policymakers, investors and industry stakeholders in managing systemic risk and enhancing sectoral resilience under extreme market conditions.

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https://doi.org/https://doi.org/10.1080/23322039.2026.2645745

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@article{wahbeeah2026,
  title        = {{The impact of oil market volatility on the airline-tourism: quantile VAR approach}},
  author       = {Wahbeeah Mohti et al.},
  journal      = {Cogent Economics and Finance},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1080/23322039.2026.2645745},
}

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F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
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R · text relevance †0.50 × 0.4 = 0.20

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