국제유가가 산업주가에 미치는 영향

The Impact of Oil Price on Stock Index Returns in Korea: A Focus on the 2008 and 2014 Oil Price Shocks

The purpose of this paper is to analyze the effects between the international oil price and the stock index in Korea mainly when oil shocks occurred in 2008 and 2014 globally. We used VECM with economic variables such as exchange rate, KOSPI and S&P 500, and the stock index on the chemical, steel and metal, machine, manufacturing, electric and gas, construction as six domestic industries. Results reveal that a decrease in the oil price leads to an increase in the stock index returns so that these two variables are inversely related which is consistent with the result mentioned in previous literature. Moreover, the stock index returns on all six industries was positively affected by the oil shock in 2008 compared to that in 2014 with the impulse response of the stock index returns for the construction sector showing the greatest movement during the whole period. Finally, the study findings contribute towards the extant literature by providing a basis for industrial prediction of the stock market in the near future.