How does public information affect the frequency of trading in airline stocks?

Sylwia Nowak () and Heather Anderson

Journal of Banking & Finance, 2014, vol. 44, issue C, 26-38

Abstract: This paper examines how firm specific and macroeconomic announcements affect transaction rates in U.S. airline stocks. Using a version of the autoregressive conditional hazard framework of Hamilton and Jordà (2002) that incorporates market microstructure variables, we show that on average, trading intensity spikes prior and consequent to macroeconomic announcements, but decreases around firm-specific releases. Further, when we use intraday crude oil futures returns as a proxy for industry relevant and globally important news we find that their effects are statistically significant, with higher oil futures returns increasing the probability of trade.

Keywords: Trading frequency; Hazard models; Announcements effect (search for similar items in EconPapers)
JEL-codes: C22 C51 G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:44:y:2014:i:c:p:26-38

DOI: 10.1016/j.jbankfin.2014.03.033

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