The Relationship between Petroleum and Stock Prices-Evidence from U.S. Airline Industry
碩士 === 大葉大學 === 管理學院碩士在職專班 === 100 === This paper empirically investigates the dynamic relationship between the oil and stock price of airline industry in U.S.. We execute this approach based on a daily time series from 2007/05/18 to 2011/07/13 by using a vector autoregressive (VAR). Empirical resul...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/63533401862568419568 |
| Summary: | 碩士 === 大葉大學 === 管理學院碩士在職專班 === 100 === This paper empirically investigates the dynamic relationship between the oil and stock price of airline industry in U.S.. We execute this approach based on a daily time series from 2007/05/18 to 2011/07/13 by using a vector autoregressive (VAR). Empirical results show ignificant negative stock price to oil price shock in U.S. airline industry.
The Granger causality test and the impulse response indicate that causation run from oil price shocks to stock price, implying that variation in stock market is explained by oil price volatility. Moreover, the results of variance decomposition analysis in the short run have shown that oil price is important factor of airline industry in U.S..
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