The Study on Impact of Oil Export and Import Trade on the Rate of the Energy Stock Return: Evidence from Korean Market

• 발행기관: 한국자료분석학회
• 저자명: 서지용(Ji-Yong Seo)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.17 No.4, 1791~1801쪽, 전체 11쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2015.08.30

영문 초록

This study is designed for examining the nexus between oil trading condition and stock return of Korean petroleum firms in the position of oil importer and exporter. This study employs the levels and the differentials of import unit price and of volume on crude oil as the proxy variables of the scale and the change of cost in the position of oil import economy. In addition, this study uses the level and the differentials of export unit price and of volume on petroleum products representing the scale and the change of revenue in the position of oil export economy. The main results as follows. First, the positive oil shock in the level driven by supply side results in making the import volume of crude oil reduced, falling stock return. Second, the positive oil shock in the differentials driven by demand side, regardless of the change of volume, leads to rising in stock return. Third, the stability in oil import and export related with volatility spillover effect is not significant factor in determining stock return of the position of oil importer and exporter.

목차

1. Introduction

2. Theoretical backgrounds and recent research trends

3. Data and models

4. Analysis results

5. Conclusion

References

키워드

Oil trading condition Import unit price Export unit price Oil shock Volatility spillover effect