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13-008/III - Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism


  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taiwan; Hui-Kuang Hsu, National Pingtung Institute of Commerce, Taiwan; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain
  • Publication date
    January 7, 2013
  • Keywords
    Tourism, Size effects, Small-firm effects, Financial performance, Spillover effects, MGARCH, VARMA, BEKK
  • JEL
    C22, G32, L83