An Empirical Study on the Dynamic Relationship between Brent Oil and Large Company Stock Prices of the Shanghai and Korea Stock Markets

Title
An Empirical Study on the Dynamic Relationship between Brent Oil and Large Company Stock Prices of the Shanghai and Korea Stock Markets
Author(s)
임병진
Keywords
Brent oil price; large company stock price; KOSPI; SSE; Granger causality test
Issue Date
201312
Publisher
한국무역연구원
Citation
무역연구, v.9, no.7, pp.805 - 819
Abstract
This paper addresses the existence of dynamic relationships between Brent oil price and large company stock prices of the Shanghai stock Exchange(SSE)and KOSPI over the period May 3,2010to August 31, 2011 covering 321 trading days. Granger causality test based on a bivariate vector autoregressive model (VAR) was employed. The stationarity of the dataseries was checked using ADF(Augmented Dickey-Fullerand and PP(Phillips and Perron)tests, Such tests suggesting that the level variables are non-stationary but the differentiated data are stationary. After these tests, testing for the existence of co-integration was conducted, revealing the existence of cointegrating vectors between test variables. Moreover, the results of the Granger causality test which presented the estimates revealed that Brent oil price has no effect on the large company stock price in the Korea KOSPI and China SSE stock markets. Moreover, the KOSPI large company stock price has no influence on the Brent oil price while SSE large company stock price has a certain degree of influence on the Brent oil price.
URI
http://hdl.handle.net/YU.REPOSITORY/27877
ISSN
1738-8112
Appears in Collections:
경영대학 > 경영학과 > Articles
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE