HOW DO PUBLIC ANNOUNCEMENTS AFFECT THE FREQUENCY OF TRADING IN U.S. AIRLINE STOCKS?

Sylwia Nowak ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper examines how news releases, key microstructure features of market activities and crude oil futures returns affect trading frequency in U.S. airline stocks. Using the autoregressive conditional hazard framework of Hamilton and Jorda (2002), we show that on average, trading intensity spikes prior and consequent to macroeconomic announcements, but decreases around firm specific releases. We find that market microstructure variables have a small yet significant effect on trading frequency, with high trade volume and narrow bid/ask spread inducing higher trading intensity. Strong evidence is provided to indicate that the intraday crude oil futures returns are relevant for modelling the probability of a trade in airline stocks within the next time period.

JEL-codes: C22 C51 G14 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2008-11
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2008-38

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