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新冠疫情对日本和美国酒店股的影响评估。

An impact assessment of the COVID-19 pandemic on Japanese and US hotel stocks.

作者信息

Kanamura Takashi

机构信息

Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS), Kyoto University, Kyoto, Japan.

出版信息

Financ Innov. 2023;9(1):87. doi: 10.1186/s40854-023-00478-2. Epub 2023 May 8.

DOI:10.1186/s40854-023-00478-2
PMID:37192906
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC10164621/
Abstract

This study proposes two new regime-switching volatility models to empirically analyze the impact of the COVID-19 pandemic on hotel stock prices in Japan compared with the US, taking into account the role of stock markets. The first model is a direct impact model of COVID-19 on hotel stock prices; the analysis finds that infection speed negatively affects Japanese hotel stock prices and shows that the regime continues to switch to high volatility in prices due to COVID-19 until September 2021, unlike US stock prices. The second model is a hybrid model with COVID-19 and stock market impacts on the hotel stock prices, which can remove the market impacts on regime-switching volatility; this analysis demonstrates that COVID-19 negatively affects hotel stock prices regardless of whether they are in Japan or the US. We also observe a transition to a high-volatility regime in hotel stock prices due to COVID-19 until around summer 2021 in both Japan and the US. These results suggest that COVID-19 is likely to affect hotel stock prices in general, except for the influence of the stock market. Considering the market influence, COVID-19 directly and/or indirectly affects Japanese hotel stocks through the Japanese stock market, and US hotel stocks have limited impacts from COVID-19 owing to the offset between the influence on hotel stocks and no effect on the stock market. Based on the results, investors and portfolio managers should be aware that the impact of COVID-19 on hotel stock returns depends on the balance between the direct and indirect effects, and varies from country to country and region to region.

摘要

本研究提出了两种新的政权切换波动率模型，以实证分析新冠疫情对日本酒店股价的影响，并与美国进行比较，同时考虑股票市场的作用。第一个模型是新冠疫情对酒店股价的直接影响模型；分析发现，感染速度对日本酒店股价有负面影响，并表明由于新冠疫情，直到2021年9月，价格仍继续切换到高波动率状态，这与美国股价不同。第二个模型是一个综合模型，考虑了新冠疫情和股票市场对酒店股价的影响，该模型可以消除市场对政权切换波动率的影响；该分析表明，无论在日本还是美国，新冠疫情都会对酒店股价产生负面影响。我们还观察到，由于新冠疫情，日本和美国的酒店股价在2021年夏季左右之前都过渡到了高波动率状态。这些结果表明，除了股票市场的影响外，新冠疫情可能总体上会影响酒店股价。考虑到市场影响，新冠疫情通过日本股票市场直接和/或间接影响日本酒店股票，而由于对酒店股票的影响与对股票市场的无影响之间的抵消作用，新冠疫情对美国酒店股票的影响有限。基于这些结果，投资者和投资组合经理应意识到，新冠疫情对酒店股票回报的影响取决于直接和间接影响之间的平衡，并且因国家和地区而异。

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10
The impact of COVID-19 outbreak on hotels' value compared to previous diseases: the role of ALFO strategy.与以往疾病相比，新冠疫情爆发对酒店价值的影响：ALFO策略的作用。
Heliyon. 2021 Aug 19;7(8):e07836. doi: 10.1016/j.heliyon.2021.e07836. eCollection 2021 Aug.