Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Person: pch286 
Author-Workplace-Name: Department of Applied Economics, Department of Finance, National Chung Hsing University
	Taichung, Taiwan
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometrisch Instituut (Econometric Institute), Faculteit der Economische 
	Wetenschappen (Erasmus School of Economics), Erasmus Universiteit, Tinbergen Instituut (Tinbergen Institute).
Author-Name: Christine Lim
Author-Person: pli324 
Author-Workplace-Name: Division of Marketing and International Business, Nanyang Technological University, Singapore
Title: Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
Abstract: This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese 
	tourist arrivals to Taiwan and New Zealand, respectively. In order to model appropriately the 
	volatilities of international tourist arrivals, we use symmetric and asymmetric conditional 
	volatility models that are commonly used in financial econometrics, namely the GARCH (1,1), 
	GJR (1,1) and EGARCH (1,1) models. The data series are for the period January 1997 to December 
	2007. The volatility estimates for the monthly growth in Japanese tourists to New Zealand and 
	Taiwan are different, and indicate that the former has an asymmetric effect on risk from positive 
	and negative shocks of equal magnitude, while the latter has no asymmetric effect. Moreover, there 
	is a leverage effect in the monthly growth rate of Japanese tourists to New Zealand, whereby 
	negative shocks increase volatility but positive shocks of similar magnitude decrease volatility. 
	These empirical results seem to be similar to a wide range of financial stock market prices, so that 
	the models used in financial economics, and hence the issues related to risk and leverage effects, 
	are also applicable to international tourism flows.
Classification-JEL: C22, G32, L83.
Keywords: Tourist arrivals, long haul, short haul, risk, conditional volatility, asymmetric effect, leverage.
Note: For financial support, the first author acknowledges the National Science Council, Taiwan, and the 
	second author acknowledges the Australian Research Council, National Science Council, Taiwan, and 
	the Japan Society for the Promotion of Science..
Length: 32 pages 
Creation-Date: 2011 
Number: 2011-28
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1128.txt
File-URL: https://eprints.ucm.es/id/eprint/12999/1/1128.pdf
File-Format: Application/pdf
File-Function: revised july 2011
Handle: RePEc:ucm:doicae:1128