earticle

영어

Today it is so significant to pay attention to the oil price and stock market for the future successful profit of domestic companies in Korea. The purpose of this paper is aimed at analyzing the effects between volatility for international oil price and the stock index on the domestic industries in Korea. It is available to use the model empirically for the dubai oil price and the stock index of the Korean industries. Also this paper studies how much impact the oil price to stock index dividing two periods when the international oil prices go up and down on the world in addition to the whole period from January 2000 to December 2015. In this study literature reviews and empirical methods are both used; The literature reviews are covered with theoretical studies on the relationship between the international oil price, stock markets with the election of variables and its examination in the previous studies. Based on these theories, a model which explains the relationship between stock price indexes by Korean industries and KOSPI (Korea Composite Stock Price Index), as a dependant variable and the independent variables which is proposed as the oil prices, the Time-Varying Volatility of oil prices, the stock index for KOSPI, S&P 500 and seventeen industry in Korea. The analysis is carried out the summary statistics for the whole number of observations for sampling of this study was 4000. This data is gathered by the stock index from the fnguide from Korea, the oil prices from Quandi company from Canada, the exchange rate for the Korean won vs. the United States Dollar from Korean Bank. Also in case of the oil price, the Dubai oil occupied around 80 percentages of imported oils to Korea is used to analyze this study rather the Brent crude from the North sea nearby the UK or the West Texas Intermediate price in the US. Through the empirical analysis, the results attained are as follows; Firstly, it had the unit root tests for stationary relation with Augmented Dickey-Fuller and Phillips-Perron, then it used the logarithmic variables because unit roots were present in variables. It had the stationary data using the level variables. In result, it was rejected the non-stationary null hypothesis, and then it had the stationary data in the time-series analysis because we had not the unit root. Secondly, this study had the vector autoregressive(VAR) model which was a general framework to describe the dynamic interrelationship among stationary variables using the first differences because the time series was stationary. After VAR analysis, this study can know the result that the p-value of the construction industry was less than the 5% significance level during the whole period, and then the stock price index of the construction is the most sensitive industry to dubai oil price. In the end, this study shows the findings to give a useful help of the industrial prediction for the stock market and to understand the relation between the oil price and stock market in Korea.

한국어

본 연구는 2000년부터 2015년까지 최근까지의 국제유가 변화가 국내 산업별 주가에 미치는 영향을 국제유가 상승기와 하락기로 비교 분석한 기존 연구들과 차별성이 있는 논문이다. 특히, 국제유가를 상승기(2000년 1월 ~ 2008년 7월)와 하락기(2012년 3월 ~ 2015년 12월)로 구분하여 한국증권거 래소(Korea Stock Exchange)의 국내 KOSPI(Korea Composite Stock Price Index)에 분류된 17 개 산업 중 어떤 업종의 주가 수익률이 가장 민감하게 반응하는지를 보고자 한다. 본 연구의 실증분 석을 위해서 2000년 1월 ~ 2015년 12월까지의 16년 동안의 17개 산업에 대한 월별 주가지수 와 우리나라에서 가장 많이 수입하는 두바이유에 대한 가격을 주요 표본 데이터로 사용하였으며, 국제유 가의 변동이 국내 산업별 주가에 미치는 영향을 알아보고자 VAR(Vector Auto Regressive)모형으로 분석하여 충격반응(Impulse Response)함수와 그랜저 인과관계분석(Granger Causality Test) 등을 보았다. 그 결과, 상승기에는 17개 산업 중에서 철강 및 금속을 비롯한 14개 산업이 유의한 결과를 보였으나, 하락기에는 단지 운수장비를 비롯한 5개 업종만이 유의하게 나왔다. 또한, 국제유가 상승 기와 하락기에 17개 산업 중 전기·전자를 비롯한 5개 업종만이 모두 유의함을 알 수 있었다. 전체 기간 에서는 4개 업종만이 유의함을 알 수 있었으며, 건설업은 상승기, 하락기, 전체 기간 동안 가 장 유의한 업종임을 실증분석으로 검증할 수 있었다. 본 연구를 통해 21세기의 국제유가가 상승기와 하락기에 KOSPI 17개 산업의 주가 수익률에 대해 서 어떠한 영향을 주었는지 알아보았으며, 유가변동에 국내 주요 산업의 주가수익률에 밀접한 영향 을 미친다는 것을 알 수 있었으며, 해당 기업들의 경영 전략수립에 도움이 되었으면 한다.