We study the relationship of West Texas Intermediate (WTI) crude oil returns and the stock market returns with the US airline stocks before, during and after the 2008 financial crisis. We confirm the positive relationship of the airline stock returns with the overall market and the negative relationship with WTI. However, we find that the crisis led to a structural change in this relationship. Our results differ for low-cost airlines which absorb the oil price shock better as compared to legacy

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... airlines. We also find that there is a difference in the relationship between the airline stock returns and WTI returns when asymmetric WTI returns are considered. Investors punish airline stocks more when there are asymmetric negative WTI returns as compared to asymmetric positive returns. While our results are in line with the existing literature on the overall stock markets, this study is unique because it provides a context for the behavior of airline stocks.