Sail Away to the Safe Harbor? COVID-19 Vaccinations and the Volatility of Travel and Leisure Companies

This paper examines the impact vaccination programs have on the stock market volatility of the travel and leisure sector. Using daily data from 56 countries over the period from January 2020 to March 2021, we find that vaccination leads to a decrease in the investment risk of travel and leisure companies. The drop in volatility is robust to many alternative estimation techniques and variable specifications, and does not depend on either the pandemic or government policy responses. Furthermore, the impact of mass vaccinations on the risk of tourism companies is more substantial in emerging markets.