Table 3Lagged effect of oil price o

Table 3
Lagged effect of oil price on return volatility. Results are based on the following GARCH (1,1) model: for different sectors. In this model, ht
2 is stock return volatility on day t; gOP is the
growth rate in crude oil prices; and γ1 − γ8 are the main parameters that are estimated. The mean equation has the following form: Rt = α1 + εt; where Rt is the stock returns at
time t and εt is an error term. We report the number of firms in different sectors that are statistically significant or statistically insignificant with positive and negative signs. In addition,
this result is converted into percentage for each sector and reported in the parenthesis.
Lags Energy sector Electricity sector Supply sector Manufacturing sector
Sig + Sig − Sig + Sig − Sig + Sig − Sig + Sig −
1 3 (7.5%) 15 (37.5%) 5 (6.6%) 35 (46.1%) 8 (12.3%) 21 (32.3%) 7 (9.3%) 43 (57.3%)
2 7 (17.5%) 8 (20%) 28 (36.8%) 9 (11.8%) 16 (24.6%) 16 (24.6%) 20 (26.7%) 19 (25.3%)
3 7 (17.5%) 3 (7.5%) 16 (21.1%) 23 (30.3%) 13 (20%) 11 (16.9%) 17 (22.7%) 22 (29.3%)
4 5 (12.5%) 3 (7.5%) 17 (22.4%) 17 (22.4%) 18 (27.7%) 19 (29.2%) 20 (26.7%) 19 (25.3%)
5 3 (7.5%) 5 (12.5%) 8 (10.5%) 24 (31.6%) 14 (21.5%) 20 (30.8%) 14 (18.7%) 37 (49.3%)
6 4 (10%) 8 (20%) 18 (23.7%) 23 (30.3%) 17 (26.2%) 17 (26.2%) 14 (18.7%) 16 (21.3%)
7 8 (20%) 5 (12.5%) 27 (35.5%) 14 (18.4%) 14 (21.5%) 14 (21.5%) 20 (26.7%) 17 (22.7%)
8 9 (22.5%) 5 (12.5%) 19 (25%) 20 (26.3%) 18 (27.7%) 12 (18.5%) 21 (28%) 17 (22.7%)
Lags Food sector General services sector Chemical sector Medical sector
Sig + Sig − Sig + Sig − Sig + Sig − Sig + Sig −
1 5 (17.9%) 9 (32.1%) 6 (27.3%) 11 (50%) 2 (10.5%) 10 (52.6%) 2 (7.1%) 15 (53.6%)
2 4 (14.3%) 11 (39.3%) 7 (31.8%) 8 (36.4%) 2 (10.5%) 7 (36.8%) 6 (21.4%) 9 (32.1%)
3 10 (35.7%) 4 (14.3%) 7 (31.8%) 5 (22.7%) 5 (26.3%) 4 (21.1%) 8 (28.6%) 7 (25%)
4 6 (21.4%) 6 (21.4%) 6 (27.3%) 4 (18.2%) 4 (21.1%) 7 (36.8%) 7 (25%) 8 (28.6%)
5 2 (7.1%) 8 (28.6%) 10 (45.5%) 7 (24.1%) 4 (21.1%) 3 (15.8%) 11 (39.3%) 4 (14.3%)
6 8 (28.6%) 8 (28.6%) 4 (18.2%) 6 (27.3%) 5 (26.3%) 7 (36.8%) 7 (25%) 6 (21.4%)
7 9 (32.4%) 8 (28.6%) 5 (22.7%) 10 (45.5%) 6 (31.6%) 7 (36.8%) 4 (14.3%) 12 (42.9%)
8 7 (25%) 5 (17.9%) 4 (18.2%) 6 (27.3%) 6 (31.6%) 5 (26.3%) 9 (32.1%) 11 (39.3%)
Lags Engineering sector Computer sector Transportation sector Banking sector
Sig + Sig − Sig + Sig − Sig + Sig − Sig + Sig −
1 2 (5.6%) 14 (38.9%) 2 (13.3%) 6 (40%) 0 13 (50%) 8 (23.5%) 7 (20.6%)
2 9 (25%) 9 (25%) 2 (13.3%) 4 (26.7%) 5 (19.2%) 6 (23.1%) 10 (29.4%) 9 (26.5%)
3 5 (13.9%) 10 (27.7%) 3 (20%) 2 (13.3%) 9 (34.6%) 4 (15.4%) 4 (11.8%) 5 (14.7%)
4 11 (30.6%) 5 (13.9%) 4 (26.7%) 0 6 (23.1%) 5 (19.2%) 6 (17.6%) 3 (8.8%)
5 9 (25%) 9 (25%) 6 (40%) 0 6 (23.1%) 9 (34.6%) 2 (5.9%) 11 (32.4%)
6 8 (22.2%) 9 (25%) 0 8 (53.3%) 6 (23.1%) 5 (19.2%) 2 (5.9%) 11 (32.4%)
7 7 (19.4%) 9 (25%) 6 (40%) 5 (33.3%) 4 (15.4%) 6 (23.1%) 8 (23.5%) 10 (29.4%)
8 12 (33.3%) 12 (33.3%) 3 (20%) 8 (53.3%) 7 (26.9%) 5 (19.2%) 6 (17.6%) 8 (23.5%)
Lags Financial sector Real estate sector
Sig + Sig − Sig + Sig −
1 9 (12.3%) 30 (41.1%) 2 (8.7%) 10 (43.5%)
2 16 (21.9%) 24 (32.9%) 2 (8.7%) 10 (43.5%)
3 15 (20.5%) 23 (31.5%) 4 (17.4%) 5 (21.7%)
4 21 (28.8%) 16 (21.9%) 3 (13%) 7 (30.4%)
5 18 (24.7%) 21 (28.8%) 6 (26.1%) 4 (17.4%)
6 14 (19.2%) 19 (26%) 5 (21.7%) 9 (39.1%)
7 16 (21.9%) 26 (35.6%) 2 (8.7%) 3 (13%)
8 17 (23.3%) 24 (32.9%) 3 (13%) 4 (17.4%)

Kết quả (Việt) 1:

Bảng 3Lagged tác động của giá dầu bay hơi trở lại. Kết quả dựa trên mô hình GARCH (1,1) sau đây: cho lĩnh vực khác nhau. Trong mô hình này, ht2 là cổ phiếu biến động trở lại vào ngày t; gOP là cáctốc độ tăng trưởng trong giá dầu mỏ; và γ1 − γ8 là các thông số chính được ước tính. Phương trình có nghĩa là có dạng sau: Rt = α1 + εt; Rt đâu trả lại cổ phiếu tạithời gian t và εt là một thuật ngữ lỗi. Chúng tôi báo cáo số lượng các công ty trong lĩnh vực khác nhau có ý nghĩa thống kê hoặc không đáng kể về mặt thống kê với dấu hiệu tích cực và tiêu cực. Ngoài rakết quả này chuyển đổi thành tỷ lệ phần trăm cho từng lĩnh vực và báo cáo trong dấu ngoặc đơn.Chậm lại năng lượng ngành điện lĩnh vực cung cấp ngành lĩnh vực sản xuấtSig Sig − Sig + Sig − Sig ++ Sig − Sig + Sig −1 3 (7,5%) 15 (37.5%) 5 (6,6%) 35 (46.1%) 8 (12,3%) 21 (32,3%) 7 (9,3%) 43 (57.3%)2 7 (17,5%) 8 (20%) 28 (36,8%) 9 (11,8%) 16 (24.6%) 16 (24.6%) 20 (26,7%) 19 (25,3%)3 7 (17,5%) 3 (7,5%) 16 (21,1%) 23 (30,3%) 13 (20%) 11 (16,9%) 17 (22,7%) 22 (29,3%)4 5 (12,5%) 3 (7,5%) 17 (22,4%) 17 (22,4%) 18 (27,7%) 19 (29,2%) 20 (26,7%) 19 (25,3%)5 3 (7,5%) 5 (12,5%) 8 (10,5%) 24 (31.6%) 14 (21,5%) 20 (30,8%) 14 (18,7%) 37 (49,3%)6 4 (10%) 8 (20%) 18 (23,7%) 23 (30,3%) 17 (26,2%) 17 (26,2%) 14 (18,7%) 16 (21,3%)7 8 (20%) 5 (12,5%) 27 (35,5%) 14 (18,4%) 14 (21,5%) 14 (21,5%) 20 (26,7%) 17 (22,7%)8 9 (22,5%) 5 (12,5%) 19 (25%) 20 (26,3%) 18 (27,7%) 12 (18,5%) 21 (28%) 17 (22,7%)Lags Food sector General services sector Chemical sector Medical sectorSig + Sig − Sig + Sig − Sig + Sig − Sig + Sig −1 5 (17.9%) 9 (32.1%) 6 (27.3%) 11 (50%) 2 (10.5%) 10 (52.6%) 2 (7.1%) 15 (53.6%)2 4 (14.3%) 11 (39.3%) 7 (31.8%) 8 (36.4%) 2 (10.5%) 7 (36.8%) 6 (21.4%) 9 (32.1%)3 10 (35.7%) 4 (14.3%) 7 (31.8%) 5 (22.7%) 5 (26.3%) 4 (21.1%) 8 (28.6%) 7 (25%)4 6 (21.4%) 6 (21.4%) 6 (27.3%) 4 (18.2%) 4 (21.1%) 7 (36.8%) 7 (25%) 8 (28.6%)5 2 (7.1%) 8 (28.6%) 10 (45.5%) 7 (24.1%) 4 (21.1%) 3 (15.8%) 11 (39.3%) 4 (14.3%)6 8 (28.6%) 8 (28.6%) 4 (18.2%) 6 (27.3%) 5 (26.3%) 7 (36.8%) 7 (25%) 6 (21.4%)7 9 (32.4%) 8 (28.6%) 5 (22.7%) 10 (45.5%) 6 (31.6%) 7 (36.8%) 4 (14.3%) 12 (42.9%)8 7 (25%) 5 (17.9%) 4 (18.2%) 6 (27.3%) 6 (31.6%) 5 (26.3%) 9 (32.1%) 11 (39.3%)Lags Engineering sector Computer sector Transportation sector Banking sectorSig + Sig − Sig + Sig − Sig + Sig − Sig + Sig −1 2 (5.6%) 14 (38.9%) 2 (13.3%) 6 (40%) 0 13 (50%) 8 (23.5%) 7 (20.6%)2 9 (25%) 9 (25%) 2 (13.3%) 4 (26.7%) 5 (19.2%) 6 (23.1%) 10 (29.4%) 9 (26.5%)3 5 (13.9%) 10 (27.7%) 3 (20%) 2 (13.3%) 9 (34.6%) 4 (15.4%) 4 (11.8%) 5 (14.7%)4 11 (30.6%) 5 (13.9%) 4 (26.7%) 0 6 (23.1%) 5 (19.2%) 6 (17.6%) 3 (8.8%)5 9 (25%) 9 (25%) 6 (40%) 0 6 (23.1%) 9 (34.6%) 2 (5.9%) 11 (32.4%)6 8 (22.2%) 9 (25%) 0 8 (53.3%) 6 (23.1%) 5 (19.2%) 2 (5.9%) 11 (32.4%)7 7 (19.4%) 9 (25%) 6 (40%) 5 (33.3%) 4 (15.4%) 6 (23.1%) 8 (23.5%) 10 (29.4%)8 12 (33.3%) 12 (33.3%) 3 (20%) 8 (53.3%) 7 (26.9%) 5 (19.2%) 6 (17.6%) 8 (23.5%)
Lags Financial sector Real estate sector
Sig + Sig − Sig + Sig −
1 9 (12.3%) 30 (41.1%) 2 (8.7%) 10 (43.5%)
2 16 (21.9%) 24 (32.9%) 2 (8.7%) 10 (43.5%)
3 15 (20.5%) 23 (31.5%) 4 (17.4%) 5 (21.7%)
4 21 (28.8%) 16 (21.9%) 3 (13%) 7 (30.4%)
5 18 (24.7%) 21 (28.8%) 6 (26.1%) 4 (17.4%)
6 14 (19.2%) 19 (26%) 5 (21.7%) 9 (39.1%)
7 16 (21.9%) 26 (35.6%) 2 (8.7%) 3 (13%)
8 17 (23.3%) 24 (32.9%) 3 (13%) 4 (17.4%)