Long Memory and Multiple Structural Breaks in the Returns of                           Travel and Tourism Indexes

Jo-Hui Chen, Maya Malinda
(Chung Yuan Christian University, Chung Li, Taiwan)

Abstract: This study identifies the long memory process and multiple structural breaks among travel and tourism indices at the New Zealand Stock Exchange, Dow Jones, and Financial Times Stock Exchange at the London Stock Exchange. The autoregressive fractionally integrated moving average-fractionally integrated generalized autoregressive conditional heteroskedasticity model and structural breaks are used to examine the long memory process. Almost all variables have intermediate memory except for Dow Jones US Travel and Tourism, which has long memory. More than 90% of the tourism and travel indices have structural breaks and interconnection among indices from New Zealand, the US, and Europe. New Zealand and Europe have strong asymmetrical effects.

Key words: long memory; multiple structural breaks; tourism

JEL code: G15