Responsive image
博碩士論文 etd-0520117-165217 詳細資訊
Title page for etd-0520117-165217
論文名稱
Title
原油價格與股市之間的關聯─以台灣產業別分析
Relationships Between Oil Price and Stock Market:An Empirical Study for The Taiwan’s Industry
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
58
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2017-06-03
繳交日期
Date of Submission
2017-06-20
關鍵字
Keywords
多因子模型、產業股價報酬、股票市場、石油價格、馬可夫狀態轉換模型、不對稱性影響
Markov regime switching model, Asymmetry, Multifactor model, Industry equity returns, Stock market, Oil prices
統計
Statistics
本論文已被瀏覽 5740 次,被下載 157
The thesis/dissertation has been browsed 5740 times, has been downloaded 157 times.
中文摘要
隨著石油價格波動日益增加且台灣石油大多為進口,因此石油價格變動對台灣影響甚大。本研究之主要目的為探討石油價格與股市之間的關聯性,以台灣產業作為分析,模型採用市場、石油、匯率以及利率的多因子模型,並引進馬可夫轉換機制,將整體的經濟劃分為高、低波動兩種狀態,以捕捉石油價格對股市的影響有與時俱變的特性。實證結果發現在不同產業不同狀態下,石油價格對股市的影響程度也會有所差異,大部分的產業在兩狀態下有正負交替的改變,且石油價格主要對製造業以及運輸業有顯著的影響。最後實證結果發現少部分的產業具有不對稱性的影響,且在不同狀態下皆可能存在。
Abstract
As oil price fluctuations are increasing and oil is mostly imported in Taiwan. Therefore, oil price changes have a big impact on Taiwan. The main purpose of this study is to explore the relationship between oil prices and the stock market at the industry level. This study uses multifactor model including stock market, oil, exchange rate and interest rate, and introduces the Markov switching mechanism to divide the overall economy into high and low volatility states. That’s because the influence of oil prices on stock market will change over time. The empirical results show that the impact of oil prices on the stock market will be dissimilar in different industries and states. The influence of oil prices on the stock market has changed between two states on a large set of industries, and the oil prices have a significant effect on the manufacturing and transportation industries. Finally, the empirical results show that reactions to oil price changes are asymmetric for a small part of industries and the effect of asymmetry may exist in different states.
目次 Table of Contents
論文審定書 i
致謝辭 ii
摘要 iii
Abstract iv
目錄 v
圖次 vii
表次 viii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究內容與流程 6
第二章 政治背景與相關文獻回顧與檢視 7
第一節 石油與中東政治 7
第二節 文獻回顧與檢視 8
第三章 實證模型與研究方法 16
第一節 多因子市場模型 16
第二節 不對稱性影響 19
第三節 似不相關迴歸法(SUR) 20
第四節 馬可夫狀態轉換 20
第四章 實證結果與分析 22
第一節 變數說明與資料來源 22
第二節 敘述統計 23
第三節 單根檢定 26
第四節 馬可夫模型估計結果 27
第五節 不對稱性影響-SUR估計結果 40
第六節 不對稱性影響-馬可夫模型估計結果 41
第七節 政策意涵 43
第五章 結論與建議 45
參考文獻 46
參考文獻 References
一、 中文文獻
1.白裕成(2005),「台灣景氣循環波動與國際原油價格變動之長期關係–馬可夫狀態轉換模型分析」,國立成功大學資源工程研究所碩士論文
2.林佳蓉(2015),「台灣景氣循環指標納入國際原油價格變數之實證研究」,國立中山大學財務管理研究所碩士論文
3.邱建良、陳君達、曹俊傑(2005),貨幣政策之衝擊對股市多頭與空頭之影響效果:以台灣股票市場為例,貨幣市場,第9卷,第1期。
4.徐千婷(2006),利率對台灣民間投資影響之實證分析,中央銀行季刊,第二十八卷,第三期。
5.涂柔卉(2009),「石油價格對亞洲四小龍股市非線性之影響關係探討」,淡江大學財務金融學系碩士論文
6.黃旭淳、胡均立(2005),「國際原油價格對總體經濟變數之影響」,國立交通大學經營管理研究所碩士論文。
7.楊永列、洪萬吉、宋筧玲、蔡明純(2005),「油價變動對亞洲四小龍股票市場的反應:AR(1)-GARCH(1,1)模型」,經營管理論叢,第一屆管理與決策2005年學術研討會特刊,59-70
二、 英文文獻
1.Aloui, C. and R. Jammazi(2009),“The effects of crude oil shocks on stock market shifts behavior: A regime switching approach”, Energy economics , 31,789-799 .
2.Aloui, C. et al. (2012) ,“Assessing the impacts of oil price fluctuations on stock returns in emerging markets”, Economic Modelling , 29 , 2686-2695 .
3.Arouri, M. and D. K. Nguyen(2010) ,“Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade”, Energy Policy , 38(8) , 4528-4539 .
4.Arouri, M.E.H. and C. Rault (2011) ,“Oil prices and stock markets in GCC countries: Empirical evidence from panel analysis” , Finance Economics , 17(3) , 242-253
5.Basher, S.A. et al.(2016),“ The impact of oil shocks on exchange rates: A Markov-switching approach”, Energy Economics , 54 ,11-23.
6.Brown, S.PA and M.k. Yucel(1999) ,“Oil prices and U.S. aggregate economic activity:A question of neutrality”, Economic & Financial Review , 16-23
7.Cong, R.G. et al.(2008) ,“ Relationships between oil price shocks and stock market:An empirical analysis from China”, Energy Policy , 36 , 3544-3553.
8.Elyasiani, E. et al.(2011) , “Oil price shocks and industry stock returns”, Energy Economics , 33 , 966-974 .
9.Faff, R. W. and T. J. Brailsford (1999) , “Oil price risk and the Australian stock market”, Journal of Energy Finance and Development , 4 , 69-87 .
10.Ghosh, S. , “Examining crude oil price–Exchange rate nexus for India during the period of extreme oil price volatility” , Applied Energy , 88 , 1886-1889
11.Hamilton, J.D. (1983) ,“Oil and the Macroeconomy since World WarⅡ”, The Journal of Political Economy, 91, 228-248.
12.Hamilton, J.D. (1989) ,“A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica , 57(2) , 357-384
13.Huang, S. et al. (2015) , “Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level”, Physica A , 434 , 13-24 .
14.Lee, Y.H. and J.S. Chiou (2011) , “Oil sensitivity and its asymmetric impact on the stock market”, Energy , 36 , 168-174
15.Lizardo R.A. and A.V. Mollick(2010) , “Oil price fluctuations and U.S. dollar exchange rates”, Energy Economics , 32 , 399-408
16.Maghyereh, A. (2004) , “Oil price shocks and emerging stock markets: a generalized VAR approach”, International Journal of Applied Econometrics and Quantitative Studies , 1(2) , 27-40
17.Maysami, R. M. and T. S. Koh. (2000) “A vector correction model of the Singapore stock market” , International Review of Economics & Finance , 9(1) , 70-96
18.Miller, J. I. and R. A. Ratti (2009) , “Crude oil and stock markets: Stability, instability, and bubbles ”, Energy Economics , 31(4) , 559-568 .
19.Mork, K.A.(1989) , “Oil and the macroeconomy when price go up and down:An extension of Hamilton’s results ”, Journal of Political Economy , 97 , 740-744
20.Moya-Martínez, P. et al. (2014) , “Oil price risk in the Spanish stock market: An industry perspective”, Economic Modelling , 37, 280-290 .
21.Mukherjee, T. K. and A. Naka (1995) , “Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error Correction”, Journal of Financial Research , 2 , 223-237
22.Nandha, M. and R. Faff(2008) , “Does oil move equity prices? A global view” , Energy Economics , 30 , 986-997
23.Papapetrou, E.(2001), “ Oil price shocks, stock market, economic activity and employment in Greece ” , Energy Economics , 23 , 511-532
24.Park, J. and R.A. Ratti (2008) , “Oil price shocks and stock markets in the U.S. and 13 European countries” , Energy Economics , 30 , 2587-2608
25.Ramón, C.R. and P.Q. Gabriel(2005) , “The effect of oil price on industrial production and on stock returns”, Departamento de Teoría e Historia Económica
26.Reboredo, J.C(2010) , “Nonlinear effects of oil shock on stock returns:a Markov-switching approach” , Applied Economics , 42, 3735-3734
27.Samer A.M. and A.I. Rjoub (2005) ,“Effect of oil price shocks in the U.S. for 1985-2004 using VAR, mixed dynamic and Granger causality approaches ” , Applied Econometrics and International Development , 5(3) , 69-82
28.Zellner, A. (1962) , “An Efficient Method of Estimating Seemingly Unrelated Regressions and Test for Aggregation Bias” , Journal of the American Statistical Association , 57 , 348-368
電子全文 Fulltext
本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
論文使用權限 Thesis access permission:自定論文開放時間 user define
開放時間 Available:
校內 Campus: 已公開 available
校外 Off-campus: 已公開 available


紙本論文 Printed copies
紙本論文的公開資訊在102學年度以後相對較為完整。如果需要查詢101學年度以前的紙本論文公開資訊,請聯繫圖資處紙本論文服務櫃台。如有不便之處敬請見諒。
開放時間 available 已公開 available

QR Code