AIRLINE DEREGULATION AND THE IMPACT ON STOCK-PRICES OF MAJOR SURVIVING CARRIERS

This paper examines the effects of deregulation on stock price movemen ts for the major surviving carriers in the airline industry. Linear tr ansfer function model building procedures are used to define the dynam ic relationships between price changes in the market and price changes in airline stocks. Analysis confirms that stock price changes in the airline industry are less sensitive to price changes in the market fol lowing the industry deregulation of 1978. The importance of the joint estimation of transfer function parameters and outlier effects is also illustrated. (C) 1997 Elsevier Science Ltd.