본 연구는 주가에 미치는 국제유가의 영향력이 기업규모별로 차이가 있는지 여부를 일반화 최소자승법(GLS)을 이용한 시계열·횡단면 회귀분석방법을 통해 확인하였다. 분석결과는 다음과 같다. 첫째, 우리나라 상장기업들의 경우 규모가 작을수록 해당 기업의 주가는 유가변화에 취약한 것으로 나타났다. 이러한 배경으로 소기업은 수익성 및 생산성 측면에서 대기업 및 중기업에 비해 취약하기 때문인 것으로 분석된다. 즉, 재무비율과 유가변화율간의 교차항을 검증모형에 포함시켜 분석한 결과 교차항의 계수가 통계적 유의성이 있는 것으로 나타났다. 둘째, 우리나라 기업들의 주가는 유가 및 시장포트폴리오의 변화에 매우 민감하게 반응하는 양상을 보여주었으며, 금리수준이 낮을수록 주가는 상승하는 것으로 나타났다. 셋째, 주가는 대기업의 경우 수익성, 유동성, 생산성의 차이에 따라, 중기업의 경우 수익성, 효율성, 생산성의 차이에 따라, 소기업의 경우 수익성, 생산성의 차이에 따라 유가에 차별적으로 반응하였다.

This study confirms whether the difference in oil price shock to stock price exists by firm size through the time series·cross section regression using GLS. The findings are as follows. Firstly, as the firm size is the smaller, the more the stock price of the listed companies is downward if oil price goes up. The main reason is attributed to weakness of profitability and productivity of small firms to large and medium sized firms. Regarding the main reason, the study confirms that the cross-items between the change of oil price and financial ratios are statistically significant to stock price change in the model. Secondly, the stock prices of listed companies response sensitively to the change of oil price and market portfolio, and the more the stock prices go up, the lower the call rate is. Thirdly, the stock prices of large sized firms response differently by difference of profitability & liquidity & productivity. However, crucial factors resulting in differential influence from oil price are profitability & efficiency & productivity in case of the medium, and are profitability & productivity in case of the small respectively.

This study confirms whether the difference in oil price shock to stock price exists by firm size through the time series·cross section regression using GLS. The findings are as follows. Firstly, as the firm size is the smaller, the more the stock price of the listed companies is downward if oil price goes up. The main reason is attributed to weakness of profitability and productivity of small firms to large and medium sized firms. Regarding the main reason, the study confirms that the cross-items between the change of oil price and financial ratios are statistically significant to stock price change in the model. Secondly, the stock prices of listed companies response sensitively to the change of oil price and market portfolio, and the more the stock prices go up, the lower the call rate is. Thirdly, the stock prices of large sized firms response differently by difference of profitability & liquidity & productivity. However, crucial factors resulting in differential influence from oil price are profitability & efficiency & productivity in case of the medium, and are profitability & productivity in case of the small respectively.

firm size, GLS, time series·cross section regression