If the antenna is the typical end-fed wire then the impedance will be
very high. Most AM radios have a high impedance input designed to
match a random wire like that. If you use coax, the capacitance of the
coax (center conductor to shield) will essentially short most of the
signal to ground and little will get to the receiver. If you've ever
opened up the coax used on car radios you'll find that it is a special
high impedance coax. A small wire fits loosly thru an insulated tube
with the shield around the outside. This keeps a relatively large
spacing between the center conductor and the shield in order to
minimize capacitance.