How Do Public Announcements Affect the Frequency of Trading in U.S. Airline Stocks?
Centre for Applied Macroeconomic Analysis Working Paper Series 38/2008
53 Pages Posted: 21 Sep 2009 Last revised: 24 Sep 2009
Date Written: November 19, 2008
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 model.
Keywords: trading frequency, hazard models, announcements effect
JEL Classification: C22, C51, G14
Suggested Citation: Suggested Citation