The impact of crisis events on the stock returns volatility of international airlines

Abstract

This paper adopts the generalized autoregressive conditional heteroskedasticity model to examine the relationship between the weekly returns of shares of the international airlines in 1996–2010. It also incorporates major international crisis events and observes the influence of different aspects on the volatility of returns of company shares. Different events exhibit significantly different regional volatility impulses in the countries in which the airlines are located. The Asian financial crisis enhances the returns volatility effects of Asian airline companies. The global financial crisis significantly intervenes with the returns volatility of airline companies around the world. The results suggest that major international events may all have risk effects on the returns on the share prices of airlines.

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