유가충격과 주가 간의 관계

• 영문명: Relationship between Oil Shocks and Stock Prices Based on Panel VAR: Evidence from Sectoral Stock Markets in China
• 발행기관: 한국무역연구원
• 저자명: 이남(Nan Li) 이연호(Yeonho Lee)
• 간행물 정보: 『무역연구』제10권 제4호, 445~466쪽, 전체 21쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.09.30

영문 초록

This paper empirically investigates the dynamic relationship between oil price and the Chinese stock market at the sectoral level from January 2004 to September 2013 using panel vector autoregression, impulse response functions and variance decomposition. Results indicate that there is no long-term equilibrium relationship between oil price and the Chinese stock market, but oil prices have short-term negative effects on Chinese stock prices for a couple of months after the shocks occur. Variance decomposition results indicate that stock prices have the highest contribution to the predictive variance decomposition of the stock price itself, but on the other hand, oil prices provide a small contribution.

목차

Abstract

Ⅰ. 서론

Ⅱ. 선행연구

Ⅲ. 실증분석

Ⅳ. 결론 및 시사점

참고문헌

키워드

oil price stock price Chinese stock market panel VAR