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

Sylwia Barbara Nowak, Heather Margot Anderson

Research output: Contribution to journalArticleResearchpeer-review

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 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
Volume44
DOIs
Publication statusPublished - 2014

Cite this

@article{0d89fc3ecf1245ec939dd13c6f74ff5a,
title = "How does public information affect the frequency of trading in airline stocks?",
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 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.",
author = "Nowak, {Sylwia Barbara} and Anderson, {Heather Margot}",
year = "2014",
doi = "10.1016/j.jbankfin.2014.03.033",
language = "English",
volume = "44",
pages = "26 -- 38",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",

}

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 journalArticleResearchpeer-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 -