An empirical study of inbound tourism demand in China: a copula-GARCH approach |
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Authors: | Jiechen Tang Vicente Ramos Shuang Cang Songsak Sriboonchitta |
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Affiliation: | 1. Faculty of Mannagement and Economics, Kunming University of Science and Technology, Kunming, 650093, China;2. Faculty of Ecomomics, Chiang Mai University, Chiang Mai, 50200, Thailand;3. Department of Applied Economics, University of Balearic Islands, Palma, 07122, Spain;4. Faculty of Management, Bournemouth University, Talbot Campus, Poole BH12 5BB, UK;5. Faculty of Ecomomics, Chiang Mai University, Chiang Mai, 50200, Thailand |
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Abstract: | This paper proposes new models for analyzing the volatility and dependence of monthly tourist arrivals to China applying a copula-GARCH approach. A desegregation of the top six origins of China inbound tourists from the period January 1994 to December 2013 is used in this study. The empirical results show that there is a strong seasonal effect in all cases and ?????? some habit persistence on monthly tourist arrival growth rate for South Korea, Russia, the United States (US), and Malaysia. Second, the volatilities of arrival growth rates to China are impacted significantly by their own short- and long-run effects, except for Russia and South Korea. Only short-run shock affects Russian arrivals while only long-run shocks are affecting South Korea arrivals. Third, the conditional dependence among different source countries is found to be positive and significant, but the conditional dependence for all considered pairs is low. Moreover, there is extreme co-movement (tail dependence) between the six major tourism source countries, suggesting the pairwise of international tourist arrivals shows a related increasing or decreasing pattern during extreme events. Implications are discussed and recommendations provided. |
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Keywords: | Tourism demand tourist arrivals logarithm monthly tourist arrivals rate copula-GARCH approach volatility conditional dependence tail dependence |
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