Nonlinear Effects of Oil Prices on Stock Returns of the Airline Industry: Evidence from Four Asian Countries

• Main Authors: Yi-Fang Lin, 林怡坊
• Other Authors: 聶建中
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/31593237817253989519

碩士 === 淡江大學 === 財務金融學系碩士班 === 104 === We adopt the panel smooth transition regression model developed by González, Teräsvirta and van Dijk (2004, 2005) to examine whether crude oil prices may cause smooth transition effects on airline’s stock returns in four Asian countries. In addition, we also evaluate the influence of some independent variables on stock returns. The empirical results are as below: Firstly, lower crude oil prices do not guarantee that there will be a positive return. On the contrary, when crude oil prices go up, it has a significant positive relationship with stock returns except in Japanese and South Korean stock markets. Secondly, in most of the crude oil price regimes, the exchange rate has a significant positive relationship with Chinese and Taiwanese stock returns. However, the exchange rate has a significant negative relationship with Japanese stock returns. In addition, the interest rate has a significant positive relationship with four countries’ stock returns. Finally, the influence of ROE on stock returns is not significant in the stock market in three of the four countries. However, ROE has a significant positive relationship with South Korean stock returns when the crude oil price is between USD $105.8817 and USD $ 106.3475. To summarize, investors are not advised to invest in the airline industry by merely considering crude oil prices. It is also crucial to look at macroeconomic aspects, e.g., the interest rate and the exchange rate. In other words, it would be better to estimate whether the economic conditions and the market environment for the present are suitable for investment before considering the crude oil prices.