지정학적 위기와 해운기업 주가 변동성의 인과관계에 관한 연구
A Study on the Causality between Geopolitical Risk and Stock Price Volatility of Shipping Companies
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초록
본 연구는 지정학적 위기와 해운기업 주식가격 변동성의 인과관계를 분석하였다. 해운산업은 국가간의 교역에 의해서 수요가 파생되는 국제성을 가지기 때문에, 여러 가지 종류의 불확실성과 리스크에 직면하고 있다. 이에 본 연구에서는 최근 러시아-우크라이나 전쟁 및 이스라엘-하마스 전쟁 등으로 부상하고 있는 지정학적 위기가 해운산업에 미치는 영향을 분석하고자 한다. 특히, 지정학적 불확실성이 해운기업의 주식가격 변동성에 미치는 영향에 대해서 분석함으로서 이에 대한 시사점을 제공하고자 한다. 2000~2023년 기간 동안 한국거래소에 상장된 해운기업 5개사의 주식가격 변동성과 지정학적 위기 지수의 관계를 벡터자기회귀모형 기반의 인과성을 검정한 결과, 다음과 같은 결론이 도출되었다. 첫째, 지정학적 위기가 고조될수록 해운기업 주식가격의 변동성은 확대되었다. 둘째, 외교적 마찰로 인한 지정학적 위기보다는 실제 발생하는 이벤트에 의한 지정학적 위기의 영향이 통계적으로 유의하였다. 마지막으로, 지정학적 위기로 인한 주식가격 변동성의 확대는 주로 벌크부문에 나타났다.
Abstract
This paper aims to investigate the causal relationship between geopolitical risk and stock price volatility in the shipping industry. Given its international nature and dependence on global trade, this industry is exposed to various uncertainties and risk factors. This study specifically focuses on the impact of geopolitical risk, which has gained significant attention in recent years due to events such as the Russia-Ukraine War and the Israel-Hamas War. To analyze this relationship, the study utilizes vector autoregressive model-based causality tests. The research estimates the causal relationship between geopolitical risk indicators and the stock price volatility of five shipping companies listed on the Korea Exchange. The study covers the period from 2000 to 2023. The results indicate the following: Firstly, an increase in geopolitical risk leads to a rise in stock price volatility for shipping companies. Moreover, the impact of actual geopolitical events, rather than just diplomatic disputes, is statistically significant. Lastly, the impact of geopolitical risk is particularly significant in the bulk shipping sector.
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