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From pandemic to systemic risk: contagion in the U.S. tourism sector

ABSTRACT This paper investigates the interconnectedness among 95 tourism firms in the U.S. over the 2018–2020 period with a focus on the impact of the Covid-19 pandemic. The results using tail risk spillover analysis show that the level of risk contagion significantly increased during the Covid-19 pandemic. Small tourism firms become more systemically important during the Covid-19 pandemic while the level of bad risk contagion has a negative impact on the stock performance of US tourism firms.