Paper Title
Effects of Tourism Risk on Stock Prices in Tourism Industry in Thailand using GDELT Database

Under the background of the general depression of the world economy, Thailand tourism is one of the key economic sectors that has contributed a considerable share (10.2 %) to GDP of the country in 2016. However, events (travel accidents; natural disaster; social events; political events) that have damaged the image of tourism industry of Thailand have occurred frequently in recent years caused a drastic reduction in the number of tourists, for these countries that regard tourism as a major industry, this often means tourism risk. The economic impact of the tourism risk is more likely to be manifested through the stock market. Especially, Today’s world is more connected than ever due to globalization and developments in technology. This paper used the data from a big database named GDELT to get a set of time series data on tourism risk using Principal component analysis method and estimated the effects of tourism risk as exogenous (X) variable on stock prices in the tourism industry in Thailand, using the GARCH(1,1)-X models. The results showed that the volatility of stock prices in hotel and mall industry in Thailand is negatively influenced by tourism risk except aviation industry in Thailand. The findings are important implications for policy makers, tourism enterprises and investors in Thailand tourism industry. Keywords - GDELT, Stock Price, Thailand, Tourism Risk