Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 26 - 38 |
| Number of pages | 13 |
| Journal | Journal of Banking and Finance |
| Volume | 44 |
| DOIs | |
| Publication status | Published - 2014 |
Cite this
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How does public information affect the frequency of trading in airline stocks? / Nowak, Sylwia Barbara; Anderson, Heather Margot.
In: Journal of Banking and Finance, Vol. 44, 2014, p. 26 - 38.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - How does public information affect the frequency of trading in airline stocks?
AU - Nowak, Sylwia Barbara
AU - Anderson, Heather Margot
PY - 2014
Y1 - 2014
N2 - 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.
AB - 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.
U2 - 10.1016/j.jbankfin.2014.03.033
DO - 10.1016/j.jbankfin.2014.03.033
M3 - Article
VL - 44
SP - 26
EP - 38
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
ER -