Valuation of oil company stock price using time series analysis | |
| Author | Warut Intarapanit |
| Call Number | AIT Thesis no.OTM-16-02 |
| Subject(s) | Petroleum industry and trade--Management Petroleum products--Prices |
| Note | A thesis submitted in partial fulfillment of the requirements for the degree of Master of Engineering in Offshore Technology and Management, School of Engineering and Technology |
| Publisher | Asian Institute of Technology |
| Series Statement | Thesis ; no. OTM-16-02 |
| Abstract | The paper presents an interactive association between “WTI” crude oil price, exchange rate “THB/USD”, Thailand stock index (SET) and PTTEP stock price using single correlation, regression and “Vector Autoregressive” (VAR) model. The daily data from 24/4/2006 to 9/1/2016 are used and transformed to return series, since the level series got unit root. The first result from correlation preliminary analysis suggests that SET index price does not show significantly relationship to other variables while PTTEP, WTI and exchange rate have the strong relationship result by the large number of correlation coefficient. In addition, WTI and exchange rate include the constant fit into or can explain PTTEP model 82.52% according to the result from R-square in regression model. Although the announcement from PTTEP regarding to their declination in revenue comes from 2 major factors which are the decline in crude price and the weakness of THB currency to USD, however the result from the OLS test in VAR system shows that a Lag 1 of WTI and PTTEP return series can only influence to PTTEP return series. Moreover the results from “Impulse Response Function” analysis and “Variance Decomposition” analysis highlight that the exchange rate does not influence in the fluctuation of PTTEP return stock price however only on WTI significantly result in the fluctuation of PTTEP in a short term period. |
| Year | 2016 |
| Corresponding Series Added Entry | Asian Institute of Technology. Thesis ; no. OTM-16-02 |
| Type | Thesis |
| School | School of Engineering and Technology (SET) |
| Department | Department of Civil and Infrastucture Engineering (DCIE) |
| Academic Program/FoS | Offshore Technology and Management (OTM) |
| Chairperson(s) | Chiu, Gregory, L.F. |
| Examination Committee(s) | Thitisak Boonpramote;Boswell, Laurence F. |
| Degree | Thesis (M. Eng.) - Asian Institute of Technology, 2016 |