항공사 주가에 미치는 항공유 가격의 비대칭적 효과: 미국 5개 항공사에 대한 비선형 자기회귀시차지연(NARDL) 모형 분석을 중심으로

Asymmetric Effects of Jet Fuel Prices on the Stock Prices: A Focus on NARDL Model Analysis of Five U.S. Airlines

Purpose - This study empirically analyzed the asymmetric effect of jet fuel prices on airline stock prices in the United States. Design/Methodology/Approach - The NARDL model by Shin et al. (2014) was applied to assess the impact of rising and falling jet fuel prices. Data from May 2007 to May 2024, including jet fuel prices, the industrial production index, and the real effective exchange rate, were used as explanatory variables. Stock prices from five US airlines served as dependent variables. Findings - Jet fuel prices significantly influenced the stock prices of all five US airlines. In the long term, rising and falling jet fuel prices negatively impacted airline stock prices, with results statistically significant at the 1% level. The effect was asymmetric; all airline stock prices fell with rising fuel prices, but responses to falling prices varied. Delta Air Lines, United Airlines, and Allegiant Air stocks declined with falling fuel prices, while Southwest Airlines and Hawaiian Airlines stocks rose. IPI positively affected airline stocks, significant at the 5% level. Exchange rates had a negative but inconsistent effect across airlines. The short-term Wald test revealed statistically significant asymmetry at the 10% level for LCCs, indicating LCCs are more sensitive to fuel price changes than FSCs. Research Implications - Airlines should hedge fuel costs to mitigate risks and diversify profits to counteract asymmetric price effects. LCCs, being more responsive to oil price fluctuations, must develop strategies tailored to this volatility.