THE EFFECT OF OIL PRICES ON RESIONAL PORTFOLIOS OF KOREAN SMAL AND MEDIUM ENTREPRISE: FEATURES ON REGION, SUB-PERIOD, AND MEASUREMENT TYPE OF OIL PRIC
THE EFFECT OF OIL PRICES ON RESIONAL PORTFOLIOS OF KOREAN SMAL AND MEDIUM ENTREPRISE: FEATURES ON REGION, SUB-PERIOD, AND MEASUREMENT TYPE OF OIL PRIC

Summary/Abstract: By making use of the newly constructed regional portfolios of Korean SMEs, this paper examines the effect of oil price changes on these portfolios returns. The results from the multifactor market model are as follows: (1) the portfolios classified in the capital area (Seoul, Incheon, and Gyeonggi-do-do) are less likely to be significantly exposed to oil price changes rather than others in non-capital area; (2) portfolios are more likely to be significantly exposed to oil prices changes when oil price changes are sizable; (3)portfolios are more likely to be significantly exposed to the type of oil price changes measured by the ‘random-walk’ assumption rather than by the ‘GARCH (1,1)’ process. These results suggest informative features on oil price exposures of Korean SMEs.

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