An analysis of the dynamic relationship among tourism demand, economic growth and stock returns in Thailand

Abstract

This study draws attention on the correlation among tourism demand, economic growth (real GDP and the yield curve) and returns from eight industry in Thailand using a Bayesian DCC-GARCH model. The focus is on quarterly top 10th tourist arrivals data from 2013 to 2019 were collected. Most of correlations between real GDP and tourists’ arrival are positive in upward direction. However, some correlations (India, and Vietnam) are negative. Mostly, correlations with yield curve and return from 8 industry are positive, but the correlation trend is downward movement whereas negative correlations with four tourists’ arrival (China, Japan, Korea and United States of America). These findings suggest that the negative correlation of yield curve seems to influence the behavior of tourist arrivals. Only the correlation between real GDP and Chinese tourist arrival is positive. It is shown that geopolitical and economic events, such as, political uncertainties, the value of exchange rate volatility, global factors; the trade, and COVID-19 pandemic affect the relationship. When compare performance of yield curve and real GDP when examining the correlation, the correlation between tourism demand and both economic growth seems to be opposite direction. Finally, policy implications derived from the main findings are discussed.