Global Determinants and Dynamic Connectedness Among Tourism-Related ETFs, Clean Energy, and Geopolitical Risk

Abstract

This study examines the dynamic connectedness and spillover transmission mechanisms among tourism-related exchange-traded funds (ETFs), clean energy markets, oil, geopolitical risks, and tourism transportation using daily percentage returns from 24 March 2017 to 16 March 2026. We employed a battery of econometric methodologies, including the R2-decomposed connectedness approach, a TVP-VAR framework to examine the extent and nature of connectedness and distinguish contemporaneous and lagged spillovers, and the DCC-GARCH specification to assess dynamic conditional correlations. The data exhibit substantial volatility and non-normality, supporting these dynamic econometric approaches. The results reveal that connectedness varies considerably over time and tends to intensify during periods of major economic and geopolitical uncertainty. PEJ emerges as the dominant overall net transmitter of shocks, primarily through lagged spillovers, while Transportation and Clean Energy act as contemporaneous transmitters but become net receivers in the lagged horizon. The decomposition further shows that contemporaneous linkages are relatively weak, while lagged effects are stronger, suggesting that shock transmission occurs gradually rather than instantaneously. The dynamic correlations are time-varying, and ETFs display asymmetric behavior across different market conditions. Overall, this study highlights the time-varying nature of interactions between tourism and clean energy assets, driven by energy market dynamics and geopolitical risks, and provides useful implications for portfolio diversification, risk management, and policy decisions in interconnected tourism and sustainable financial markets.