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

Autor:	Sunghee Choi
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	spillover effect international oil market Korean stock market a diagonal BEKK model portfolio-level analysis Economics as a science HB71-74
Zdroj:	Economies, Vol 12, Iss 4, p 92 (2024)
Druh dokumentu:	article
ISSN:	2227-7099
DOI:	10.3390/economies12040092
Popis:	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.
Databáze:	Directory of Open Access Journals
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