油价不确定性冲击与韩国股市：共同因素与不对称的作用

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-06-01 DOI:10.1016/j.ribaf.2025.102989

Geon Hee Lee, Young Min Kim

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引用次数: 0

摘要

本研究探讨了2000年1月至2022年12月期间，油价不确定性冲击对韩国行业股票市场的异质影响中共同因素的作用。我们的研究结果表明，当控制部门股票回报的共同因素时，可以观察到部门异质性，但在不考虑共同因素的情况下，油价不确定性的影响在所有部门都表现出类似的反应。我们还通过使用马尔可夫转换结构向量自回归来检验油价不确定性与韩国部门股票市场之间的不对称关系。我们确认，在大多数行业中，高油价和低油价不确定性机制所产生的冲击的不对称效应。我们的研究结果强调了考虑共同因素和不对称性的必要性，以准确分析油价不确定性与韩国行业股票市场之间的关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Oil price uncertainty shock and Korean sectoral stock market: The role of common factor and asymmetry

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Oil price uncertainty shock and Korean sectoral stock market: The role of common factor and asymmetry

This study investigates the roles of common factor in the heterogeneous impact of oil price uncertainty shocks on the Korean sectoral stock market between January 2000 and December 2022. Our results show that, when controlling for the common factor in the sectoral stock returns, sectoral heterogeneity is observed, but without considering the common factor, the impact of oil price uncertainty exhibits similar responses across all sectors. We also examine the asymmetric relationship between oil price uncertainty and the Korean sectoral stock market by using a Markov-switching structural vector autoregression. We confirm the asymmetric effects of shocks arising from the regime of high- and low-oil price uncertainty in most sectors. Our results emphasize the necessity of accounting for the common factor and asymmetry to precisely analyze the relationship between oil price uncertainty and the Korean sectoral stock market.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance