Information Transmission Effects between Airline Stock Prices and Macroeconomic Factors －Evidence from Airline ETF-
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The airline business is well known to be subject to a boom-and-bust cycle of economies. Duringthe sample period of February 1, 2009 to February 28, 2013, this paper analyzes the impact ofmacroeconomic variables (i.e., the Dow Jones Industrial Average index, 5-year Treasury bond prices,and fuel price) on airline companies in terms of volatility of its stock prices, using an airline ETF. The results in this paper show that the return spillover effects between stock prices of airlinecompanies and DJIA, fuel prices are found to be significant. This evidence is consistent with thefact that, since 2008, the airline companies have long suffered from high fuel prices andeconomic downturn stemmed from the global financial crisis. But we couldn’t see any significantvolatility spillover effects between airline ETF and DJIA, fuel prices. It is also reported that thevariance of airline ETF is not influenced by that of DJIA. In addition, T-bond prices show aweak return and volatility spillover effect on airline stock prices.
Abstract
The airline business is well known to be subject to a boom-and-bust cycle of economies. Duringthe sample period of February 1, 2009 to February 28, 2013, this paper analyzes the impact ofmacroeconomic variables (i.e., the Dow Jones Industrial Average index, 5-year Treasury bond prices,and fuel price) on airline companies in terms of volatility of its stock prices, using an airline ETF. The results in this paper show that the return spillover effects between stock prices of airlinecompanies and DJIA, fuel prices are found to be significant. This evidence is consistent with thefact that, since 2008, the airline companies have long suffered from high fuel prices andeconomic downturn stemmed from the global financial crisis. But we couldn’t see any significantvolatility spillover effects between airline ETF and DJIA, fuel prices. It is also reported that thevariance of airline ETF is not influenced by that of DJIA. In addition, T-bond prices show aweak return and volatility spillover effect on airline stock prices.
참고문헌 (11)
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