Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
ผลกระทบของน้ำมันและการลงทุนของบริษัท : กรณีศึกษาจากตลาดหลักทรัพย์แห่งประเทศไทย (ตลท.)
Year (A.D.)
2021
Document Type
Independent Study
First Advisor
Vimut Vanitcharearnthum
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2021.91
Abstract
This special project empirically examines the impact from the different type of oil price shocks on corporate investment. This study follows the method proposed by Kilian (2009). He uses the structural vector autoregression model to decompose oil price shock into 3 type which comprised with oil supply shock, oil aggregate demand shock, and oil specific demand shock. Moreover, this work also incorporates industrial competition to investigate how it link to the impact of oil shock on corporate investment. The empirically examine period is Jan 2007 to Dec 2018. This study uses the firm-level data of companies listed in the stock exchange of Thailand. Also, this paper includes sub-sample analysis of two groups which are energy-related and non-energy related group. This study finds that oil price shock from supply side has positive relationship with corporate investment. But oil price shock from the demand sides such as aggregate demand shock and specific demand shock have limited impact on corporate investment. For sub-sample analysis, The empirical finding still in line with all sample. While the existing of industrial competition of non-energy related industry help to mitigate the positive impact of supply shock and we can imply that it reduces overinvestment problem.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Kitsirikarn, Pakkawat, "Oil shocks and corporate investment: evidence from stock exchange of Thailand (SET)" (2021). Chulalongkorn University Theses and Dissertations (Chula ETD). 7707.
https://digital.car.chula.ac.th/chulaetd/7707