Korean Energy Economic Review ISSN:1599-7057(Print) 에너지경제연구

In contrast to the diverse examination of oil shock, few papers have been devoted onto the effect of the oil shock on stock derivatives. This paper examines the effect on stock index derivatives with the weekly data of derivatives indices such as F-KOSPI 200, C-KOSPI 200, and P-KOSPI 200 respectively as futures; call; put on KOSPI 200 listed in Korean Exchange in the period between January 2007 and September 2014 by VAR (vector autoregression) model. VAR model is often applied to the analysis of the effect of the oil shock on stock price. Oil shock are referred to as the changes in the level the volatility of oil price. The changes are also classified into positive and negative ones The paper documents as follows. First of all, the change of the level and the volatility affect the change of stock index derivatives. Without the increase in foreign exchange rates, the decease of the volatility strongly leads to increase of returns of stock index derivatives.