메뉴 건너뛰기
Library Notice
Institutional Access
If you certify, you can access the articles for free.
Check out your institutions.
ex)Hankuk University, Nuri Motors
Log in Register Help KOR
Subject
Humanities
General Humanities History Philosophy Religious Studies Linguistics and Literature Other Humanities
Social science
General Social Science Business Management Tourism Education Military Science Library and Information Science Law Sociology Journalism and Media Studies Psychological Science Political Science and Diplomacy Geography Public Administration Economics International Trade Anthropology Other Social Science
Natural science
General Natural Science Physics Biology Life Sciences Mathematics/Statistics Astronomy Earth Science Chemistry Other Natural Science
Engineering
General Engineering Architectural Engineering Mechanical Engineering Industrial Engineering Material/Energy Engineering Electrical and Electronic Engineering Marine and Ocean Engineering Chemical Engineering Computer Science Other Engineering
Medical science
General Medical Science Nursing Science Veterinary Pharmacy Traditional Korean Medicine Basic Medicine Clinical Medicine Other Medicine
Agriculture and Fishery
General Agriculture and Fishery Agriculture Fishery Science Food Science Forestry Animal Husbandry Marine Transportation Studies Other Agriculture and Fishery
Art and Kinesiology
General Arts Design Fine Arts Cosmetology Photography Music Fashion Kinesiology Performing Media Arts Other Arts and Kinesiology
Interdisciplinary Studies
Interdisciplinary Research Science and Technology Studies Brain and Cognitive Science Technology Policy Other Interdisciplinary Studies

KOR

Impact of the Changes in Oil Prices on Korean Stock Market Liquidity
Recommendations
Search
Questions

유가 변화가 우리나라 주식시장 유동성에 미치는 영향

논문 기본 정보

Type
Academic journal
Author
Sangbae Kim (경북대학교)
Journal
Korea Energy Economics Institute Korean Energy Economic Review Vol.20 No.1 KCI Accredited Journals
Published
2021.3
Pages
79 - 103 (25page)

Usage

cover
📌
Topic
📖
Background
🔬
Method
🏆
Result
Impact of the Changes in Oil Prices on Korean Stock Market Liquidity
Ask AI
Recommendations
Search
Questions

Abstract· Keywords

Report Errors
In this paper, we examine the impact of the changes in oil price on the stock market liquidity in Korea. To do so, we utilize a Markov Switching model by using the Amihud(2002) liquidity measure and the Pastor and Stambaugh(2003) liquidity measure while the sample period ranges from January 1998 to March 2020. Our empirical results show that the decrease of oil prices influences stock market liquidity during the downturn periods. This result is robust when we consider the changes of real economy by including industrial production. In addition, examining the effect of the changes in oil prices on the industry liquidity suggests that the impacts of oil price changes vary with the specific industry. Our empirical findings not only help understand liquidity risk in Korean stock market, but also point out that the changes in oil prices may leads to different consequences depending on the economic regimes.
#유가 변화 #주식시장 #유동성 #국면전환모형 #Oil price #Stock market #Liquidity #Markov switching model

Contents

요약
Ⅰ. 서론
Ⅱ. 유동성 측정치 및 실증분석모형
Ⅲ. 표본자료 및 실증분석 결과
Ⅳ. 요약 및 결론
참고문헌
ABSTRACT

References (44)

Add References
정기호 / 2018 / 한국 주식시장에서의 Amihud 측도의 주식 수익률 예측과 거래량 / 한국증권학회지 47(4):543~577 Crossref 金權植 / 2005 / 국제 유가충격이 경제성장과 인플레이션에 미치는 영향 / East Asian Economic Review 9(2):175~211 Crossref 김동헌 / 2012 / 유가충격과 산업생산 간 관계 분석 / 한국경제의 분석 18(1):55~131 google schola 김동훈 / 2018 / 에지워스 가격 사이클(Edgeworth Price Cycle)과 비대칭적 가격 반응: 서울 휘발유 소매 시장 사례 / 에너지경제연구 17(1):213~240 dbpia 김상배 / 2013 / 오류발견율을 이용한 국내 주식형 펀드의 유동성 타이밍능력 검증 / 金融工學硏究 12(2):1~24 Crossref

Recommendations

It is an article recommended by DBpia according to the article similarity. Check out the related articles!

Related Authors

Frequently Viewed Together

영어권 캐나다에 있어서의 여성작가들의 위상
캐롤 거슨 외국문학 1991 .09
An analysis of domestic research trends in early childhood inclusion: An analysis of journals from 2018 to 2022
Lee ,  Seong-Joo ,  Oh The Journal of Korea Open Association for Early Childhood Education 2023 .02
Option Valuation Using Markov Chain Approximation Under the Generalized Black-Scholes Model
Gyu-Sik Han Journal of the Korean Operations Research and Management Science Society 2020 .08
Transformations of the Developmental State into the Post-Developmental State: Experiences of South Korea, Japan, and Taiwan
Sang Woo Yoon Asia Review 2020 .02
Analysis of Russian Stock Market Volatility Factors : Focusing on International Oil Price and Stock Market Structure
Lee Jong Moon The Journal of Slavic Studies 2017 .03

Recently viewed articles

The Effects of Early Childhood Teachers’ Happiness and Job Stress on Their Teacher-Child Interactions
Eun Ju Lee, Sang Lim KimKorean Association of Human Ecology2019.05
 Nanoscale electron transport at a stepped Bi₂Se₃ surface
Sebastian BAUER, Hueseyin AZAZOGLU, Christian A. BOBISCHThe Korean Vacuum Society2016.08
 Micro Structure of Kaolin-Cement using SEM
Lee Kyu Hwan, Jung Dae SukKOREAN SOCIETY OF CIVIL ENGINEERS2002.11

Comments(0)

0

Write first comments.

UCI(KEPA) : I410-ECN-0101-2021-321-001648660