A1280
Title: Seasonal and regime-dependent effects of heat stress on European tourism equities
Authors: Iason Kyrlis - University of Piraeus (Greece) [presenting]
Charalampos Agiropoulos - University of Piraeus (Greece)
George Galanos - University of Piraeus (Greece)
Sotirios Varelas - University of Piraeus (Greece)
Christos Kanellopoulos - University of Piraeus (Greece)
Abstract: The impact of climate-induced heat stress is investigated, measured by the Universal Thermal Climate Index (UTCI), on European tourism equities. Using weekly data from 2010-2025, Newey-West OLS regressions are combined with time-frequency wavelet methods. Econometric results show that anomalous-day frequencies in the Northeast quadrant significantly predict tourism portfolio returns (+22 basis points per day), while summer (JJA) heat is associated with negative performance (-39 bp/). A structural shift emerges post-2020, with positive sensitivities (+46 bp/). Wavelet coherence analysis with AR(1) Monte Carlo significance reveals statistically reliable short-horizon (2-8 week) co-movements, with returns typically leading heat stress by ~0.5 weeks, consistent with anticipatory pricing. However, coherence is sparse in summer-only samples, suggesting that the seasonal drag reflects broad demand effects rather than concentrated bursts of extreme heat. These findings highlight spatial heterogeneity, regime dependence, and the importance of multi-resolution methods in quantifying climate-financial linkages.
