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

Sylwia Barbara Nowak, Heather Margot Anderson

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)


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 Jorda (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.
Original languageEnglish
Pages (from-to)26 - 38
Number of pages13
JournalJournal of Banking and Finance
Publication statusPublished - 2014

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