Oil prices, policy uncertainty and travel and leisure stocks in China

Highlights: • • The impacts of oil price shocks on travel and leisure stock returns are mainly positive. • • The effects of policy uncertainty on travel and leisure stock returns vary between positive and negative. • • The impacts of oil price shocks and policy uncertainty vary significantly across different sub-industries. • • Oil price shocks and policy uncertainty both have the greatest influences on scenic spot stock returns. • • The influences of trade policy uncertainty on travel and leisure stocks are the most significant. By utilizing the time-varying parameter vector autoregressive (TVP-VAR) model, we investigate the time-varying effects of oil price shocks and policy uncertainty on travel and leisure stocks from January 2000 to December 2018 in China. The results suggest that the impacts of oil price shocks on travel and leisure stock returns are mainly positive, which support the market inertia theory. However, the effects of policy uncertainty on travel and leisure stock returns fluctuate between positive and negative. Furthermore, the impacts of oil price shocks and policy uncertainty vary significantly across different sub-industries. For classified travel and leisure stocks, oil price shocks and policy uncertainty both have the greatest influences on scenic spot stock returns. Among classified policy uncertainty, the influences of trade policy uncertainty on travel and leisure stocks are the most significant.