Процена преливања шокова са тржишта нафте на тржиште берза различитих индустријских сектора у Америци – приступ квантилној регресији
Sažetak
Истраживачки проблем овог рада испитује утицај шокова цена нафте типа Брент на приносе акција девет компанија са америчког тржишта, које послују у три различита индустријска сектора. Период посматрања обухвата 2015. до 2023. Процес истраживања обухвата одређивање утицаја преноса шока коришћењем приступа квантилне регресије. Резултати показују да је већина евалуираних квантилних параметара високо статистички значајна, односно са више од 99% вероватноће. Процењени квантилни параметри имају особину да могу да посматрају ефекте преливања шокова у различитим стањима привреде, као што су рецесија, нормално стање и експанзија. Резултати истраживања сугеришу да је преливање шокова са тржишта Брент нафте најизраженије у сектору аутомобилске индустрије, односно у компанијама које су енергетски најзависније од нафте. Значај истраживања огледа се у недостатку постојећих истраживања која се баве утицајем најважнијег комодитија на свету на цене акција компанија уз примену овакве методологије, што је уједно и допринос науци. Коначно, резултати овог истраживања су веома релевантни за доношење инвестиционих одлука за креаторе економске политике, инвеститоре и менаџмент компаније.
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