에너지 기업의 주식수익률에 미치는 국제유가의 수요와 공급충격의 영향력
The Effects of Supply and Demand Shocks of Oil Price on the Stock Returns of Energy Firms: Evidence from Firms Listed in KOSPI
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본 연구는 국제유가 영향력을 Kilian(2009)의 구조적 VAR 분석방법에 따라 공급 및 수요충격으로 구분하여, 에너지 기업들의 주식수익률에 미치는 영향력을 패널데이터 회귀분석과 충격반응분석을 통해 검증했다. 본 연구는 재무론적 관점의 투입비용 및 수요효과 측면에서 유가충격이 주식수익률에 미치는 영향력을 이론적으로 설명한 점에서 연구의 기여사항이 있다. 본 연구를 통해 확인한 주요 결과들은 다음과 같다. 첫째, 유가의 양(+)의 공급충격은 투입비용효과측면에서 에너지 기업들의 현금흐름 개선에 기여함으로써, 주식수익률과 정(+)의 관련성을 보였다. 둘째, 유가의 양(+)의 수요충격은 소비자 수요효과측면에서 인플레이션 유발 및 투자자 위험회피성향을 초래하는 것으로 나타나 주식수익률과 부(-)의 관련성을 갖는 것으로 확인되었다. 셋째, 자산규모, 배당성향 및 시장포트폴리오 수익률은 각각 에너지 기업 주식수익률에 부(-)와 정(+)의 영향을 미쳐 Fama and French(2001, 1993)의 연구결과를 지지하였다.
Abstract
Through panel data regression and impulse-response analysis, this study examines the effects of supply and demand shocks of oil price derived by structural vector autoregressive method suggested by Kilian(2009) on stock returns of energy firms. Current study contributes to academic field in that it explains the effects of supply and demand shocks on stock return in terms of input-cost and demand effects in Finance theory. Main test results are as follows. First, positive supply shock leads to increasing stock return with improvement of cash flow in terms of input-cost effect. Second, positive demand shock results in falling stock return attributed to increasing inflationary pressure and risk aversion of investors in terms of demand effect. Third, not only asset size but also dividend payout ratio and market portfolio return affect the stock returns of energy firms with negative and positive direction, respectively in line with those of Fama and French(2001, 1993).
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