An Analysis of the Effects of Crude Oil Price on Energy and Transportation Securities: Empirical Study in Thailand

Abstract

This study empirically examined the impact oil price shock on energy and transportation securities in Thailand by using VAR model. The time-series data were represented during subprime crisis from 2006 to 2010. Considering an effect of oil price shock on security returns, we found evidence that the oil price shock have short-term impacts on all security returns for the first two months after the shock and there are also negative effects on all security returns.Thus, the investors should carefully invest from these situations.