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How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?

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Author Info
Sylwia Nowak ()
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.

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Paper provided by Australian National University, Centre for Applied Macroeconomic Analysis in its series CAMA Working Papers with number 2008-38.

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Length: 53 pages
Date of creation: Nov 2008
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Handle: RePEc:acb:camaaa:2008-38

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C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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