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http://dx.doi.org/10.29214/damis.2019.38.3.001

Asymmetric Impacts of Oil Price Uncertainty on Industrial Stock Market -A Quantile Regression Approach -  

Joo, Young-Chan (Department of Economics, Chung-Ang University)
Park, Sung-Yong (Department of Economics, Chung-Ang University)
Publication Information
Management & Information Systems Review / v.38, no.3, 2019 , pp. 1-19 More about this Journal
Abstract
This paper investigates the asymmetric effects of crude oil price uncertainty on industrial stock returns under different market conditions (bearish and bullish stock markets). We consider a quantile regression method using monthly oil volatility index, KOSPI and 22 industrial stock indices from May 2007 to February 2019. Especially, we take care of the positive and negative changes of the oil volatility index to analyze asymmetric effects of the oil price uncertainty for the bearish and bullish stock market conditions. During the bearish markets, the oil volatility index has relatively strong statistically significant negative effects on the industrial stock returns. These effects gradually decrease when the market conditions became more bullish markets. In particular, positive changes in the oil volatility index yields a further significant decrease in 12 industrial stock returns during the extreme bearish markets. Moreover, during the bullish markets, negative changes in the oil volatility index have statistically significant negative effects on the 12 industrial stock returns. From the empirical results, we see that participants of the Korean stock market are sensitive to bad news in a recession.
Keywords
Oil Price Uncertainty; OVX; Industrial Stock Market; Asymmetric Effect; Quantile Regression;
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