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: Hui-Kuang Hsu
Author-Workplace-Name: Department of Finance and Banking National Pingtung Institute of Commerce, Taiwan
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Title: Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
Abstract: This paper examines the size effects of volatility spillovers for firm performance and exchange rates with 
	asymmetry in the Taiwan tourism industry. The analysis is based on two conditional multivariate models, 
	BEKK-AGARCH and VARMA-AGARCH, in the volatility specification. Daily data from 1 July 2008 to 29 June 2012 
	for 999 firms are used, which covers the Global Financial Crisis. The empirical findings indicate that there 
	are size effects on volatility spillovers from the exchange rate to firm performance. Specifically, the risk 
	for firm size has different effects from the three leading tourism sources to Taiwan, namely USA, Japan, and 
	China. Furthermore, all the return series reveal quite high volatility spillovers (at over sixty percent) 
	with a one-period lag. The empirical results show a negative correlation between exchange rate returns and 
	stock returns. However, the asymmetric effect of the shock is ambiguous, owing to conflicts in the significance 
	and signs of the asymmetry effect in the two estimated multivariate GARCH models. The empirical findings 
	provide financial managers with a better understanding of how firm size is related to financial performance, 
	risk and portfolio management strategies that can be used in practice.
Classification-JEL: C22, G32, L83.
Keywords: Tourism, Size effects, Small-firm effects, Financial performance, Spillover effects, MGARCH, VARMA, BEKK.
Note: For financial support, the first author is most grateful to the National Science Council, Taiwan, and the 
	third author wishes to acknowledge the Australian Research Council, National Science Council, Taiwan, and 
	the Japan Society for the Promotion of Science.
 
Length: 29 pages 
Creation-Date: 2013
Number: 2013-01 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1301.txt
File-URL: https://eprints.ucm.es/id/eprint/17679/1/1301.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1301