{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,10]],"date-time":"2025-10-10T01:08:22Z","timestamp":1760058502454,"version":"build-2065373602"},"reference-count":57,"publisher":"MDPI AG","issue":"4","license":[{"start":{"date-parts":[[2025,4,13]],"date-time":"2025-04-13T00:00:00Z","timestamp":1744502400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"Shenzhen Key Research Base of Humanities and Social Sciences","award":["KP191003","202002311004"],"award-info":[{"award-number":["KP191003","202002311004"]}]},{"name":"Social Science Foundation of Harbin Institute of Technology","award":["KP191003","202002311004"],"award-info":[{"award-number":["KP191003","202002311004"]}]},{"name":"University-Industry Collaborative Education Program","award":["KP191003","202002311004"],"award-info":[{"award-number":["KP191003","202002311004"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Systems"],"abstract":"<jats:p>Comprehending the dynamics of risk spillover across the value chain is indispensable for effective risk management, especially amid increasing economic and geopolitical uncertainty. This study investigates the mechanics of risk transmission within the value chain of the Chinese hospitality industry by employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) model using daily data from January 2015 to December 2023. Our research identifies key sub-sectors, such as hotel resort and luxury cruises, film and entertainment, malls and supermarkets, environmental and facilities services, air freight and logistics, and road transportation, as significant risk transmitters that affect the overall stability of the industry. Conversely, sectors such as restaurants, liquor and wine services, leisure services, and railway transport are designated as risk receivers. These results offer critical insights for stakeholders, emphasizing the necessity of comprehensive risk management strategies to reduce negative spillover effects, particularly in the context of economic shocks like the COVID-19 pandemic and geopolitical events like the Russia\u2013Ukraine conflict.<\/jats:p>","DOI":"10.3390\/systems13040286","type":"journal-article","created":{"date-parts":[[2025,4,14]],"date-time":"2025-04-14T04:42:07Z","timestamp":1744605727000},"page":"286","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Dynamic Risk Transmission in the Chinese Hospitality Industry: A Time-Varying Analysis"],"prefix":"10.3390","volume":"13","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8883-6667","authenticated-orcid":false,"given":"Ke","family":"Peng","sequence":"first","affiliation":[{"name":"School of Economics and Management, Harbin Institute of Technology, Shenzhen, Shenzhen 518055, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0009-0009-0515-3456","authenticated-orcid":false,"given":"Muhammad","family":"Munir","sequence":"additional","affiliation":[{"name":"School of Economics and Management, Harbin Institute of Technology, Shenzhen, Shenzhen 518055, China"},{"name":"Department of Business Administration, University of Sahiwal, Sahiwal 57000, Pakistan"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4593-802X","authenticated-orcid":false,"given":"Jifan","family":"Ren","sequence":"additional","affiliation":[{"name":"School of Economics and Management, Harbin Institute of Technology, Shenzhen, Shenzhen 518055, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yanzhe","family":"Feng","sequence":"additional","affiliation":[{"name":"School of Economics and Management, Harbin Institute of Technology, Shenzhen, Shenzhen 518055, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Shoaib","family":"Nisar","sequence":"additional","affiliation":[{"name":"Shenzhen Branch of Guangdong Chuangying Pilot Information Technology Co., Ltd., Shenzhen 518129, China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2025,4,13]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"109","DOI":"10.1093\/rof\/rfw026","article-title":"Where the risks lie: A survey on systemic risk","volume":"21","author":"Benoit","year":"2017","journal-title":"Rev. Financ."},{"key":"ref_2","doi-asserted-by":"crossref","first-page":"119","DOI":"10.1016\/j.jeconom.2014.04.012","article-title":"On the network topology of variance decompositions: Measuring the connectedness of financial firms","volume":"182","author":"Diebold","year":"2014","journal-title":"J. Econom."},{"key":"ref_3","doi-asserted-by":"crossref","first-page":"931","DOI":"10.1016\/j.physa.2018.03.083","article-title":"Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market","volume":"505","author":"Yu","year":"2018","journal-title":"Phys. A Stat. Mech. Appl."},{"key":"ref_4","first-page":"77","article-title":"Portfolio selection","volume":"7","author":"Markowitz","year":"1952","journal-title":"J. Financ."},{"key":"ref_5","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1016\/j.finmar.2015.09.003","article-title":"Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers","volume":"27","author":"Barunik","year":"2016","journal-title":"J. Financ. Mark."},{"key":"ref_6","doi-asserted-by":"crossref","first-page":"100836","DOI":"10.1016\/j.ememar.2021.100836","article-title":"Identifying systemically important financial institutions in complex network: A case study of Chinese stock market","volume":"50","author":"Chen","year":"2022","journal-title":"Emerg. Mark. Rev."},{"key":"ref_7","first-page":"271","article-title":"Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk","volume":"16","author":"Barunik","year":"2018","journal-title":"J. Financ. Econom."},{"key":"ref_8","doi-asserted-by":"crossref","first-page":"63","DOI":"10.1016\/j.econlet.2018.07.007","article-title":"On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach","volume":"171","author":"Gabauer","year":"2018","journal-title":"Econ. Lett."},{"key":"ref_9","doi-asserted-by":"crossref","first-page":"265","DOI":"10.1016\/j.tre.2019.05.013","article-title":"Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?","volume":"127","author":"Lin","year":"2019","journal-title":"Transp. Res. Part E Logist. Transp. Rev."},{"key":"ref_10","doi-asserted-by":"crossref","first-page":"603","DOI":"10.1080\/13683500.2022.2031916","article-title":"The exposure of the US tourism subsector stocks to global volatility and uncertainty factors","volume":"26","author":"Hadi","year":"2023","journal-title":"Curr. Issues Tour."},{"key":"ref_11","doi-asserted-by":"crossref","first-page":"103243","DOI":"10.1016\/j.ijhm.2022.103243","article-title":"Impact of COVID-19 on the connectedness across global hospitality stocks","volume":"104","author":"Hadi","year":"2022","journal-title":"Int. J. Hosp. Manag."},{"key":"ref_12","doi-asserted-by":"crossref","first-page":"2561","DOI":"10.1080\/13683500.2023.2237169","article-title":"Where do tourism tokens travel to and from?","volume":"27","author":"Aharon","year":"2023","journal-title":"Curr. Issues Tour."},{"key":"ref_13","doi-asserted-by":"crossref","first-page":"102047","DOI":"10.1016\/j.frl.2021.102047","article-title":"The stock price reaction of the COVID-19 pandemic on the airline, hotel, and tourism industries","volume":"44","author":"Carter","year":"2022","journal-title":"Financ. Res. Lett."},{"key":"ref_14","first-page":"2075","article-title":"Volatility spillovers among major tourism stock indices during Covid 19 pandemic","volume":"26","author":"Ozatac","year":"2022","journal-title":"Curr. Issues Tour."},{"key":"ref_15","doi-asserted-by":"crossref","first-page":"48","DOI":"10.1177\/13548166211035954","article-title":"European travel and leisure sector and uncertainties: A risk spillover analysis","volume":"29","author":"Kumar","year":"2023","journal-title":"Tour. Econ."},{"key":"ref_16","doi-asserted-by":"crossref","first-page":"34","DOI":"10.1080\/13683500.2021.1881050","article-title":"From pandemic to systemic risk: Contagion in the US tourism sector","volume":"25","author":"Shahzad","year":"2022","journal-title":"Curr. Issues Tour."},{"key":"ref_17","doi-asserted-by":"crossref","first-page":"100111","DOI":"10.1016\/j.annale.2023.100111","article-title":"Travel and leisure stocks exposure to exchange rates","volume":"4","author":"Hadi","year":"2023","journal-title":"Ann. Tour. Res. Empir. Insights"},{"key":"ref_18","doi-asserted-by":"crossref","first-page":"559","DOI":"10.1177\/13548166211053670","article-title":"The spillover effects of the COVID-19 pandemic: Which subsectors of tourism have been affected more?","volume":"29","author":"Abdelsalam","year":"2023","journal-title":"Tour. Econ."},{"key":"ref_19","doi-asserted-by":"crossref","first-page":"102192","DOI":"10.1016\/j.ribaf.2023.102192","article-title":"The impact of COVID-19 on the volatility connectedness of the Chinese tourism sector","volume":"68","author":"Hu","year":"2024","journal-title":"Res. Int. Bus. Financ."},{"key":"ref_20","doi-asserted-by":"crossref","unstructured":"Antonakakis, N., Chatziantoniou, I., and Gabauer, D. (2020). Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions. J. Risk Financ. Manag., 13.","DOI":"10.3390\/jrfm13040084"},{"key":"ref_21","doi-asserted-by":"crossref","first-page":"80","DOI":"10.1111\/ijcs.12605","article-title":"Financial literacy: A systematic review and bibliometric analysis","volume":"45","author":"Goyal","year":"2021","journal-title":"Int. J. Consum. Stud."},{"key":"ref_22","first-page":"371","article-title":"What is systemic risk, and do bank regulators retard or contribute to it?","volume":"7","author":"Kaufman","year":"2003","journal-title":"Indep. Rev."},{"key":"ref_23","doi-asserted-by":"crossref","first-page":"3173","DOI":"10.1080\/00036840600994161","article-title":"Conditional risk and return in Asian emerging markets: Evidence from the banking sector","volume":"40","author":"Lin","year":"2008","journal-title":"Appl. Econ."},{"key":"ref_24","doi-asserted-by":"crossref","unstructured":"Avesani, R., and Garcia Pascual, A.I. (2006). A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-to-Default CDS Basket. SSRN Electron. J.","DOI":"10.5089\/9781451863659.001"},{"key":"ref_25","unstructured":"Adrian, T., and Brunnermeier, M. (2009, January 17\u201318). CoVaR: Measuring Systemic Risk Contribution. Proceedings of the 3rd Unicredit Group Conference on Banking and Finance, Rome, Italy."},{"key":"ref_26","unstructured":"Smaga, P. (2014). The concept of systemic risk. Syst. Risk Cent. Spec. Pap."},{"key":"ref_27","doi-asserted-by":"crossref","first-page":"821","DOI":"10.1111\/j.1467-937X.2005.00353.x","article-title":"Time Varying Structural Vector Autoregressions and Monetary Policy","volume":"72","author":"Primiceri","year":"2005","journal-title":"Rev. Econ. Stud."},{"key":"ref_28","doi-asserted-by":"crossref","first-page":"826","DOI":"10.1093\/oep\/gpv030","article-title":"Who cares about stock market booms and busts? Evidence from data on mental health","volume":"67","author":"Ratcliffe","year":"2015","journal-title":"Oxf. Econ. Pap."},{"key":"ref_29","doi-asserted-by":"crossref","first-page":"598","DOI":"10.1016\/j.jce.2017.11.002","article-title":"The impact of institutional volatility on financial volatility in transition economies","volume":"46","author":"Hartwell","year":"2018","journal-title":"J. Comp. Econ."},{"key":"ref_30","doi-asserted-by":"crossref","first-page":"158","DOI":"10.1111\/j.1468-0297.2008.02208.x","article-title":"Measuring financial asset return and volatility spillovers, with application to global equity markets","volume":"119","author":"Diebold","year":"2009","journal-title":"Econ. J."},{"key":"ref_31","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1108\/QRFM-06-2023-0143","article-title":"Stock markets volatility during crises periods: A bibliometric analysis","volume":"17","author":"Goyal","year":"2024","journal-title":"Qual. Res. Financ. Mark."},{"key":"ref_32","doi-asserted-by":"crossref","first-page":"394","DOI":"10.1080\/13683500.2013.868414","article-title":"Has the tourism-led growth hypothesis been validated? A literature review","volume":"19","author":"Brida","year":"2016","journal-title":"Curr. Issues Tour."},{"key":"ref_33","doi-asserted-by":"crossref","first-page":"1415","DOI":"10.1177\/1354816619900584","article-title":"Economic policy uncertainty and demand for international tourism: An empirical study","volume":"26","author":"Nguyen","year":"2020","journal-title":"Tour. Econ."},{"key":"ref_34","doi-asserted-by":"crossref","first-page":"200","DOI":"10.1016\/j.ijhm.2005.11.004","article-title":"The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach","volume":"26","author":"Chen","year":"2007","journal-title":"Int. J. Hosp. Manag."},{"key":"ref_35","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1080\/15470148.2020.1776657","article-title":"COVID-19: An opportunity to review existing grounded theories in event studies","volume":"22","author":"Seraphin","year":"2020","journal-title":"J. Conv. Amp; Event Tour."},{"key":"ref_36","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1177\/0047287507299580","article-title":"Perceived Risk and the Non Institutionalized Tourist Role: The Case of Israeli Student Ex Backpackers","volume":"46","author":"Reichel","year":"2007","journal-title":"J. Travel Res."},{"key":"ref_37","doi-asserted-by":"crossref","first-page":"101604","DOI":"10.1016\/j.frl.2020.101604","article-title":"Financial contagion during COVID\u201319 crisis","volume":"38","author":"Akhtaruzzaman","year":"2021","journal-title":"Financ. Res. Lett."},{"key":"ref_38","doi-asserted-by":"crossref","first-page":"101699","DOI":"10.1016\/j.frl.2020.101699","article-title":"COVID-19 and the United States financial markets\u2019 volatility","volume":"38","author":"Albulescu","year":"2021","journal-title":"Financ. Res. Lett."},{"key":"ref_39","doi-asserted-by":"crossref","first-page":"74","DOI":"10.1108\/TR-03-2020-0110","article-title":"COVID-19: Potential effects on Chinese citizens\u2019 lifestyle and travel","volume":"76","author":"Wen","year":"2021","journal-title":"Tour. Rev."},{"key":"ref_40","doi-asserted-by":"crossref","first-page":"1167","DOI":"10.1177\/0047287520933679","article-title":"The low-carbon imperative: Destination management under urgent climate change","volume":"60","author":"Higham","year":"2021","journal-title":"J. Travel Res."},{"key":"ref_41","doi-asserted-by":"crossref","first-page":"1828","DOI":"10.1177\/1354816620933039","article-title":"COVID-19 and gradual adjustment in the tourism, hospitality, and related industries","volume":"27","author":"Tsionas","year":"2021","journal-title":"Tour. Econ."},{"key":"ref_42","doi-asserted-by":"crossref","first-page":"102961","DOI":"10.1016\/j.annals.2020.102961","article-title":"COVID19 and Airbnb Disrupting the Disruptor","volume":"83","author":"Dolnicar","year":"2020","journal-title":"Ann. Tour. Res."},{"key":"ref_43","first-page":"100","article-title":"The impact of the China stock market on global financial markets during COVID-19","volume":"13","author":"Najaf","year":"2024","journal-title":"Int. J. Public Sect. Perform. Manag."},{"key":"ref_44","doi-asserted-by":"crossref","first-page":"100033","DOI":"10.1016\/j.crbeha.2021.100033","article-title":"Exploring the impact of COVID-19 on tourism: Transformational potential and implications for a sustainable recovery of the travel and leisure industry","volume":"2","author":"Abbas","year":"2021","journal-title":"Curr. Res. Behav. Sci."},{"key":"ref_45","first-page":"679","article-title":"Transformation to normality of the null distribution of g1","volume":"57","year":"1970","journal-title":"Biometrika"},{"key":"ref_46","doi-asserted-by":"crossref","unstructured":"Anscombe, F.J., and Glynn, W.J. (1983). Distribution of the Kurtosis Statistic b 2 for Normal Samples. Biometrika, 70.","DOI":"10.2307\/2335960"},{"key":"ref_47","doi-asserted-by":"crossref","first-page":"255","DOI":"10.1016\/0165-1765(80)90024-5","article-title":"Efficient tests for normality, homoscedasticity and serial independence of regression residuals","volume":"6","author":"Jarque","year":"1980","journal-title":"Econ. Lett."},{"key":"ref_48","doi-asserted-by":"crossref","first-page":"813","DOI":"10.2307\/2171846","article-title":"Efficient Tests for an Autoregressive Unit Root","volume":"64","author":"Elliott","year":"1996","journal-title":"Econometrica"},{"key":"ref_49","doi-asserted-by":"crossref","first-page":"777","DOI":"10.1080\/01621459.2012.688465","article-title":"New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing","volume":"107","author":"Fisher","year":"2012","journal-title":"J. Am. Stat. Assoc."},{"key":"ref_50","doi-asserted-by":"crossref","first-page":"101","DOI":"10.1016\/j.euroecorev.2014.07.002","article-title":"A new index of financial conditions","volume":"71","author":"Koop","year":"2014","journal-title":"Eur. Econ. Rev."},{"key":"ref_51","doi-asserted-by":"crossref","first-page":"611","DOI":"10.1016\/j.eneco.2011.08.009","article-title":"On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness","volume":"34","author":"Arouri","year":"2012","journal-title":"Energy Econ."},{"key":"ref_52","doi-asserted-by":"crossref","first-page":"499","DOI":"10.1016\/j.eneco.2018.01.023","article-title":"Oil volatility, oil and gas firms and portfolio diversification","volume":"70","author":"Antonakakis","year":"2018","journal-title":"Energy Econ."},{"key":"ref_53","doi-asserted-by":"crossref","first-page":"103299","DOI":"10.1016\/j.frl.2022.103299","article-title":"Herding behavior in conventional cryptocurrency market, non fungible tokens, and DeFi assets","volume":"50","author":"Yousaf","year":"2022","journal-title":"Financ. Res. Lett."},{"key":"ref_54","doi-asserted-by":"crossref","first-page":"119","DOI":"10.1016\/0304-4076(95)01753-4","article-title":"Impulse response analysis in nonlinear multivariate models","volume":"74","author":"Koop","year":"1996","journal-title":"J. Econom."},{"key":"ref_55","doi-asserted-by":"crossref","first-page":"17","DOI":"10.1016\/S0165-1765(97)00214-0","article-title":"Generalized impulse response analysis in linear multivariate models","volume":"58","author":"Pesaran","year":"1998","journal-title":"Econ. Lett."},{"key":"ref_56","doi-asserted-by":"crossref","first-page":"57","DOI":"10.1016\/j.ijforecast.2011.02.006","article-title":"Better to give than to receive: Predictive directional measurement of volatility spillovers","volume":"28","author":"Diebold","year":"2012","journal-title":"Int. J. Forecast."},{"key":"ref_57","doi-asserted-by":"crossref","first-page":"646","DOI":"10.1177\/1354816620959914","article-title":"The impact of COVID-19 on the Spanish tourism sector","volume":"28","author":"Poza","year":"2022","journal-title":"Tour. Econ."}],"container-title":["Systems"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.mdpi.com\/2079-8954\/13\/4\/286\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,9]],"date-time":"2025-10-09T17:13:35Z","timestamp":1760030015000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.mdpi.com\/2079-8954\/13\/4\/286"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2025,4,13]]},"references-count":57,"journal-issue":{"issue":"4","published-online":{"date-parts":[[2025,4]]}},"alternative-id":["systems13040286"],"URL":"https:\/\/doi.org\/10.3390\/systems13040286","relation":{},"ISSN":["2079-8954"],"issn-type":[{"type":"electronic","value":"2079-8954"}],"subject":[],"published":{"date-parts":[[2025,4,13]]}}}