Estimating Spillover Effect from International Oil Market to Stock Market: Evidence from Korean Portfolio-Level Analysis

被引：0
作者：
Choi, Sunghee [1 ]
机构：
[1] Keimyung Univ, Fac Econ & Commerce, Dept Int Commerce, Daegu 42601, South Korea
来源：
ECONOMIES | 2024年 / 12卷 / 04期
关键词：
spillover effect; international oil market; Korean stock market; a diagonal BEKK model; portfolio-level analysis; PRICE SHOCKS; IMPLIED VOLATILITY; RETURNS; CONTAGION; EUROPE; IMPACT;
D O I：
10.3390/economies12040092
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using a diagonal BEKK model, this paper estimates a spillover effect from the international crude oil market to the Korean stock market. Empirical results suggest that shocks and volatility in Dubai oil prices are significantly transmitted into twenty portfolios of the Korean stock market. Also, it was found that these spillover effects dramatically rose during the year 2020, when the threat of COVID-19 was the most serious. More specifically, oil-oriented portfolios, such as the power and gas firms' portfolio and chemical firms' portfolio, had a greater spillover effect from the international crude oil market rather than other portfolios. Further, compared to larger-capitalization firm portfolios, small-capitalization firm portfolios had a relatively greater spillover effect. Several implications and important avenues for further research are identified.
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页数：14
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