Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations

36 Pages Posted: 2 Nov 2009

See all articles by Chia-Lin Chang

Chia-Lin Chang

National Chung Hsing University - Department of Applied Economics, Department of Finance

Thanchanok Khamkaew

Maejo University- Faculty of Economics

Michael McAleer

Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute; Tinbergen Institute; University of Tokyo - Centre for International Research on the Japanese Economy (CIRJE), Faculty of Economics

Roengchai Tansuchat

Faculty of Economics - Chiang Mai University

Date Written: November 2, 2009

Abstract

International and domestic tourism are leading economic activities in the world today. Tourism has been known to generate goods and services directly and indirectly, attract foreign currency, stimulate employment, and provide opportunities for investment. It has also been recognized as an important means for achieving economic development. Substantial research has been conducted to evaluate the role of international tourism, and its associated volatility, within and across various economies. This paper applies several recently developed models of multivariate conditional volatility to investigate the interdependence of international tourism demand, as measured by international tourist arrivals, and its associated volatility in the four leading destinations in ASEAN, namely Indonesia, Malaysia, Singapore and Thailand. Each of these countries has attractive tourism characteristics, such as significant cultural and natural resources. Shocks to international tourism demand volatility could affect, positively or negatively, the volatility in tourism demand of neighbouring countries. The empirical results should encourage regional co-operation in tourism development among ASEAN member countries, and also mobilize international and regional organizations to provide appropriate policy actions.

Keywords: tourism demand, ASEAN, multivariate GARCH, volatility spillovers, interdependence, economic development

JEL Classification: C22, C32, F5, O53

Suggested Citation

Chang, Chia-Lin and Khamkaew, Thanchanok and McAleer, Michael and Tansuchat, Roengchai, Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations (November 2, 2009). Available at SSRN: https://ssrn.com/abstract=1498414 or http://dx.doi.org/10.2139/ssrn.1498414

Chia-Lin Chang (Contact Author)

National Chung Hsing University - Department of Applied Economics, Department of Finance ( email )

Taichung, Taiwan
China

Thanchanok Khamkaew

Maejo University- Faculty of Economics ( email )

Chiang Mai
Thailand

Michael McAleer

Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute ( email )

Rotterdam
Netherlands

Tinbergen Institute

Rotterdam
Netherlands

University of Tokyo - Centre for International Research on the Japanese Economy (CIRJE), Faculty of Economics

Tokyo
Japan

Roengchai Tansuchat

Faculty of Economics - Chiang Mai University ( email )

Thailand

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