유가 불확실성이 주가수익률에 미치는 비대칭적 영향

• 영문명: The Asymmetric Impacts of Oil Price Uncertainty on Stock Returns
• 발행기관: 한국무역연구원
• 저자명: 최완수(Wan-Soo Choi)
• 간행물 정보: 『무역연구』제12권 제5호, 345~358쪽, 전체 14쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2016.10.30

영문 초록

This paper examines the asymmetric impact of oil price uncertainty on stock returns using monthly data covered the period July 1997 to March 2016. The measure of oil price change is the logarithmic first difference of the West Texas Intermedieate(WTI) while stock return is the logarithmic first difference of the KOSPI. Oil price uncertainty is measured by the conditional standard deviation of the one-step-ahead forecast error for the change in the oil price. A bivariate GARCH-in-mean vector autoregressive model of Elder and Serletis (2010) is used for analysis. The results show that oil price uncertainty has a positive significant impact on stock returns. That is, an increase in oil price uncertainty tends to increase stock returns. The study also finds that the responses of stock returns to positive and negative oil price shocks are asymmetric since the responses are not equal in absolute terms. The negative oil price shock appears to have a larger effect than the negative oil price shock of equal size. Furthermore, the inclusion of the contemporaneous oil price volatility term in stock return equation dampens the responses of stock returns to positive oil price shock. On the other hand, it amplifies its response to a negative oil price shock at least for the first two horizons. However, the effect is significant only in the response of stock returns to positive oil price shock. Overall, these results show that oil price uncertainty matters for stock returns in Korea.

키워드

Asymmetric Impact GARCH-in-mean VAR Model Oil Price Uncertainty Stock Return