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Impact of Oil Price Shocks on Stock Prices by Industry
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국제유가 충격이 산업별 주가에 미치는 영향

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Type
Academic journal
Author
Yun Jung Lee (부산대학교 경제통상연구원) YoonSeong-Min (부산대학교)
Journal
한국환경경제학회, 한국자원경제학회 자원환경경제연구 자원환경경제연구 제31권 제2호 KCI Accredited Journals
Published
2022.6
Pages
233 - 260 (28page)

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Impact of Oil Price Shocks on Stock Prices by Industry
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In this paper, we analyzed how oil price fluctuations affect stock price by industry using the non-parametric quantile causality test method. We used weekly data of WTI spot price, KOSPI index, and 22 industrial stock indices from January 1998 to April 2021. The empirical results show that the effect of changes in oil prices on the KOSPI index was not significant, which can be attributed to mixed responses of diverse stock prices in several industries included in the KOSPI index. Looking at the stock price response to oil price by industry, the 9 of 18 industries, including Cloth, Paper, and Medicine show a causality with oil prices, while 9 industries, including Food, Chemical, and Non-metal do not show a causal relationship. Four industries including Medicine and Communication (0.45~0.85), Cloth (0.15~ 0.45), and Construction (0.5~0.6) show causality with oil prices more than three quantiles consecutively. However, the quantiles in which causality appeared were different for each industry. From the result, we find that the effects of oil price on the stock prices differ significantly by industry, and even in one industry, and the response to oil price changes is different depending on the market situation. This suggests that the government’s macroeconomic policies, such as industrial and employment policies, should be performed in consideration of the differences in the effects of oil price fluctuations by industry and market conditions. It also shows that investors have to rebalance their portfolio by industry when oil prices fluctuate.
#유가 #KOSPI 지수 #산업별 주가지수 #비모수 분위수 인과관계 검정 #Oil price #KOSPI #Stock index by industry #Non-parametric quantile causality test

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