국제유가가 석유화학관련기업의 주가에 미치는 영향

Abstract

The purpose of this study is to contemplate stock price movement of firms related petrochemical industry resulted from Dubai oil price movement. With the fact that the stock price movement is different with the past how this movement could affect from what variables. At First, we set the model up and study the relationship between stock prices and Dubai Oil price. The model could affect from variables which includes Exchange rates, Kospi index, rate of interest and Dubai oil price. In domestic stock price market, three Oil companies(GS, SK, S-OIL) and seventeen petrochemical related firms are the most affected companies from Oil Price movement. The twenty companies were chosen among membership companies enrolled to Korea Petrochemical industry Association. To analyze the effect of dubai oil price for long-term and short-term, ARDL-UECM Bound test was taken advantage of this study. Additionally, for short-term analysis Vector autoregression models(VAR) and impulse response function were tested. Weekly data taken for this study. Even if, it is hard to consider the as small sample, the data period is relatively short. For the consideration of variables and to prevent loss of the degree of freedom, which is also not sufficient as large sample. Persaran and Shin(1999) consist OLS(ordinary least squares) result from ARDL Bound test with short sample could have consistency for short-term and super-consistency for long-term. This could overcome the former cointegration method's disadvantages and is still useful method for small samples. The variables for this study have unit root process. After differencing, all the variables could get the difference-stationary(DS) process. By the ARDL-UECM Bounds test, nine terms have cointegration process for long-term relationship, five terms are not distinguishable and the other 6 terms don't have cointegration relationships. Then look into short term relationships, Dubai Oil Price has positive influence on thirteen terms, negative influence on five terms and time difference influence on two terms. Accordingly, Dubai oil price soaring can result rise of domestic petrochemical industry firm's stock price. Mean to say, Dubai Oil Price has positive effect to domestic petrochemical industry firm's stock price. But the drastic Dubai oil price change, gradual dubai oil price could have comovement with domestic petrochemical industry firms' stock price. Because gradual economy recovery has an effect on the domestic petrochemical industry firms' stock price with gradual Dubai oil price rise. Next, take a look into the effect of exchange rates index, it has negative effect on fifteen firms and has mixed effects on five firms according to time difference. Exchange rates movement upwards cause rise of dubai crude oil price when raw materials imported. This can be worsen for the profitabilities of each firm. So exchange rates has negative effects on stock price of domestic petrochemical related firms. Third, the effect from Kospi index on domestic petrochemical related firms' stock price has positive effect on all firms. This can show that the Kospi index includes all the samples so the samples could not move independently. Forth, interest rates effect on domestic petrochemical related firms' has positive effect on fourteen firms', has negative effect on 6 firms. In other words, seventy percents of firms have positive relationship and thirty percents of firms have negative relationship for the sample. Majority of sample has positive relationship but could not assert that interest rates has positive relationship with petrochemical related firms. On this study, the only consistent variable is Kospi index. another variables have different effect according to time difference. Especially, could not insist that dubai oil price rise cause positive effect on domestic petrochemical related firms. To supplement this study, should distinguish the period of sample upphase and downphase, consider the effects of kospi index, dubai oil price, interest rates and exchange rates. Because, the effect of shock of dubai oil price can change according to upphase and downphase. Hereafter, by analysis method of Gregory and Hansen's cointegration tests(1996a,b), seperates the period by structual break point and compensate this study. To make additional remark, as the trend has grow up that Kospi index is infuluencced by S&P500, SSEC, Dow Jones industrial Average, should consider as variables for the after study.