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An Empirical Study On The Effect Of Exchange Rate And Oil Price On The Stock Price Of Domestic Airlines

Posted on:2024-02-21Degree:MasterType:Thesis
Country:ChinaCandidate:R XingFull Text:PDF
GTID:2531307082455974Subject:Finance
Abstract/Summary:PDF Full Text Request
With the beginning of the "811" exchange rate reform,it indicates that the internationalization of the RMB has reached a new level,and the exchange rate is showing two-way fluctuations.Therefore,various sectors are increasingly paying attention to the exchange rate.Oil plays an important role in promoting economic development.As the largest oil importing country,most industries are closely related to oil,and the fluctuations in international oil prices have a significant impact on China’s economic structure.In the deepening of financial market reform,the effectiveness of the stock market is increasingly closely linked to the energy and financial markets,with the aviation industry being the most prominent.The aviation industry plays a crucial role in the transportation system and is sensitive to the external environment.Since the "811",the international environment has been fraught with twists and turns,with the rise of anti globalization,the outbreak of the Sino US trade war,the sudden COVID-19,and the imminent Russia-Ukraine conflict.The constant interest rate increase of the US dollar has led to greater fluctuations in the energy market and financial market.Based on this,this article explores the impact of exchange rates and oil prices on the stock prices of various airlines,which has certain research value and theoretical significance.Qualitative,quantitative,and comparative research methods are adopted.Firstly,based on reviewing relevant literature,the theoretical mechanism and transmission path of the two on airline stock prices are analyzed.Starting from two classic theoretical models,the impact of exchange rates and oil prices on stock prices is refined to the impact on airlines,By using a time series model and selecting different ownership airlines as samples according to the above time nodes,an empirical study is conducted to construct a DCC-GARCH model to discuss the dynamic correlation between oil prices,exchange rates,and airline stock prices.The TVP-VAR model is used to analyze the spillover effects between oil prices,exchange rates,and airline stock prices,Finally,verify whether there is a significant difference in stock prices between the two markets due to the listing of Southern Airlines in Hong Kong.Through empirical research,it has been found that historical stock price shocks are quickly suppressed by market mechanisms,the impact of oil prices is time-varying,and the volatility of Hong Kong stock market reactions continues to be greater than that of A-shares.The Hong Kong stock market is more volatile and has a larger amplitude than the A-share market.The oil price has a time-varying characteristic on airline stock prices,and the impact of exchange rate on stock prices is more significant and profound.The duration of the impact of two variables on stock prices exceeds that of a single variable,and the impact on state-owned airlines is even greater.Based on research results and different ownership airlines,grasp these differences in response and provide targeted suggestions for risk control from the perspectives of oil prices and exchange rates,enriching research in the field of airlines.
Keywords/Search Tags:oil price, exchange rate, airline stock price, correlation coefficient, spillover effect
PDF Full Text Request
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