유가의 변화와 미국 주식시장의 성과와의 관계
Relationship between Oil Price Changes and the Stock Market Performance in US
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
유가는 기업의 재무성과에 중대한 영향을 미친다. 유가의 변동은 주식가격의 움직임과 음(-)의 관계가 있다고 일반적으로 믿고 있지만, 이전의 연구결과에 의하면 유가와 주식시장의 관계에 대해 완전히 일치된 결과를 보여주지 못하고 있다. 본 연구는 유가의 변동과 미국 주식시장(전체시장과 특정산업 모두에 대해)의 성과와의 관계를 검토하고 있다. 일반적인 믿음과는 달리, 주식시장의 움직임과 유가의 변동은 양(+)의 관계가 있으며, 장기적으로는 서로 같은 방향으로 움직이고 있음을 보여 주고 있다. 또한 특정 산업들의 주식은 극심한 유가의 가격변동과 비교해 볼 때 독특한 움직임을 보여주고 있음을 알 수 있다.
Abstract
Oil price has a material impact on firm's financial performance. While it has been a common belief that the changes in oil prices have negative relationships with the movement of stock prices, the previous studies showed mixed results. This study examines the relationship between the oil price changes and the US stock market, both for selected industries and for overall market. Contrary to the common belief, the examination of data from the US stock market indicates that the movements of stock prices and the changes in oil prices are positively related and moves along with each other in a long term. It is also found that stocks for specific industries show unique movements comparing with highly-fluctuating oil price trend.
참고문헌 (25)
- 백자욱, "Determinants of Compensation the State Owned Enterprises’ CEOs", 국제회계연구, (20), pp.295~311 (2007), 한국국제회계학회
- Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative, "Barsky, B. Robert", NBER, ~, pp.Series 8389 (2001)
- Bernanke, S. Ben, "Systematic Monetary Policy and the Effects of Oil Price Shocks", Brookings Papers on Economic Activity, 1, pp.91~157 (1997)
- Burbidge, John, "Testing for the Effects of Oil-Price Rises Using Vector Autoregressions", International Economic Review, 25(2), pp.459~484 (1984)
- Chen, N, "Economic Forces and the Stock Market", The Journal of Business, 59(3), pp.383~403 (1986)
- Davis, J Steven, "Sectoral Job Creation and Destruction Responses to Oil Price Changes", Journal of Monetary Economics, 48, pp.465~512 (2001)
- Driesprong, G, "Striking Oil: Another Puzzle?" (2003), Erasmus University Rotterdam
- Gisser, Micha, "Crude Oil and the Macroeconomy: Tests of Some Popular Notions: Note", Journal of Money, Credit and Banking, 18(1), pp.95~103 (1986)
- Gogineni, Sridhar, "The Stock Market Reaction to Oil Price Changes" (2008), University of Oklahoma
- Golub, Stephen S, "Oil Prices and Exchange Rates", The Economic Journal, 93(371), pp.576~593 (1983)
- Hamilton, James D, "Oil and the Macroeconomy since World War II", The Journal of Political Economy, 91(2), pp.228~248 (1983)
- Hamilton, James D, "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy", Journal of Money, Credit & Banking, 36(2), pp.2665~286 (2004)
- Hamilton, James D, "Understanding Crude Oil Prices", ~ (2008)
- Hong, H, "Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability" (2002), Stanford University & UCLA
- Hooker, Mark A, "What happened to the oil price-macroeconomy relationship?", Journal of Monetary Economics, 38, pp.195~213 (1996)
- Hooker, Mark A, "Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime", Journal of Money, Credit and Banking, 34(2), pp.540~561 (2002)
- Huang, R.D, "Energy shocks and financial markets", Journal of Futures Markets, 16, pp.1~27 (1996)
- Jones, Charles M, "Oil and the Stock Markets", The Journal of Finance, (2), pp.463~491 (1996)
- Jones, D.W, "Oil price shocks and the macroeconomy: what has been learned since 1996", Energy Journal, 25(2), pp.1~32 (2004)
- Keane, P. Michael, "The Employment and Wage Effects of Oil Price Changes: A Sectoral Analysis", Review of Economics and Statistics, 78, pp.389~400 (1996)
- 기현희, "벌과금 등의 추가납부세액 공시로 인한 주가반응", 국제회계연구, (24), pp.35~52 (2008), 한국국제회계학회
- 김경열, "배당정책과 소유구조 및 기업가치의 관계", 국제회계연구, (17), pp.159~182 (2007), 한국국제회계학회
- Lee, Kiseok, "On The Dynamic Effects of Oil Shocks: A Study Using Industry Level Data", Journal of Monetary Economics, 49(4), pp.823~852 (2002)
- Mork, A. Knut, "Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton?s Results", The Journal of Political Economy, 97(3), pp.740~744 (1989)
- Pollet,Joshua, "Predicting Asset Returns With Expected Oil Price Changes" (2002), Harvard University