An impact assessment of the COVID‑19 pandemic on Japanese and US hotel stocks

This study proposes two new regime-switching volatility models to empirically analyze the impact of the COVID-19 pandemic on hotel stock prices in Japan compared with the US,taking into account the role of stock markets.The first model is a direct impact model of COVID-19 on hotel stock prices;the analysis finds that infection speed negatively affects Japanese hotel stock prices and shows that the regime continues to switch to high volatility in prices due to COVID-19 until September 2021,unlike US stock prices.The second model is a hybrid model with COVID-19 and stock market impacts on the hotel stock prices,which can remove the market impacts on regime-switching volatility;this analysis demonstrates that COVID-19 negatively affects hotel stock prices regardless of whether they are in Japan or the US.We also observe a transition to a high-volatility regime in hotel stock prices due to COVID-19 until around summer 2021 in both Japan and the US.These results suggest that COVID-19 is likely to affect hotel stock prices in general,except for the influence of the stock market.Considering the market influence,COVID-19 directly and/or indirectly affects Japanese hotel stocks through the Japanese stock market,and US hotel stocks have limited impacts from COVID-19 owing to the offset between the influence on hotel stocks and no effect on the stock market.Based on the results,investors and portfolio managers should be aware that the impact of COVID-19 on hotel stock returns depends on the balance between the direct and indirect effects,and varies from country to country and region to region.

Financialisation in emerging economies:a systematic overview and comparison with Anglo-Saxon economies

Financialisation research has originally focussed on the US experience,but the concept is now increasingly applied to emerging economies(EMEs).There is a rich literature stressing peculiarities of individual country experiences,but little systematic comparison across EMEs.This paper fills this gap,providing an overview of the debate and identifying six financialisation interpretations for EMEs.These different interpretations stress(1)financial deregulation,(2)foreign financial inflows,(3)asset price volatility,(4)the shift from bank-based to market-based finance,(5)business debt,and(6)household indebtedness.We construct and compare measures of the six financialisation interpretations across a sample of 17 EMEs from Latin America,emerging Europe,Africa and Asia,contrasting them with the US and UK,two financialised economies.We find considerable variation in financialisation experiences of EMEs.Asset price volatility is found across the continents.Asia has been more exposed to capital inflows,stock markets have gained importance and private sector debt has risen.In emerging Europe financial deregulation has been more pronounced with lower levels but strong increases in household debt.The picture is similar in South Africa,the African EME in the sample,where household debt is comparatively high.Financialisation in Latin America is weaker according to our measures.