Tail risk connectedness in the global tourism markets: The asymmetry impact of ESG index

This study utilizes high-frequency data from the ESG index and seven major tourism economies spanning 2015–2025, employing the TVP-VAR and CAViaR approach to model the tail risk connectedness, and QQKRLS method, and wavelet coherence to examine the multidimensional nonlinear impact of the ESG index on the global tourism market. The results indicate that: (1) The ESG functions as a “systemic stabilizer” in the global tourism market. (2) Risk transmission in the global tourism market exhibits a “center-periphery” structure, where the EU and UK serve as primary net risk exporters, while emerging Asian markets predominantly act as net risk recipients. (3) The impact of ESG on the tourism market displays significant time-variability and asymmetry, developed markets demonstrate greater resilience to ESG shocks, while emerging markets exhibit higher impact intensity at extreme quantiles. (4) COVID-19 markedly reshape the ESG-tourism risk transmission network, exacerbating the centralization and amplification of risk transmission.