煉油廠的營業毛利主要受成品油售價與原油成本構成的煉製價差所影響，以往國內文獻大多以探討原油成本的避險為主，本研究以煉製價差的避險做為研究方向。國際市場上，大型油品公司會對其成品油的煉製價差做避險，藉由特定的油品期貨進行避險交易。本研究針對中油、台塑石化所生產的成品油(汽油、柴油、航空煤油、燃料油)與使用的原油(Brent、Dubai)，在不同的煉製比例、近遠期避險、商品可避險交易所等實際狀況下組成煉製價差，並對其避險績效做評估，希望找到適合國內業者的避險方法。由於避險目的為穩定營業毛利的波動，在財報資料長度的限制下，避險策略使用天真避險(Naïve Hedge)與選擇性避險(Selective Hedge)做為避險策略。研究結果如下
1. 台塑石化使用煉製價差天真避險可優於直接買進原油期貨避險。
2. 煉製價差選擇性避險下，研究期間報酬皆為正，且優於煉製價差天真避險，可為煉油公司帶來收益並降低風險。
3. 在單位風險報酬較高時，邊際避險效益下降，使得避險效果較不佳。

Refinery operating margin is mainly affected by crack spread composing of crude oil prices and refined oil prices. Most of the previous domestic literatures(studies) explore the issue of hedging cost of crude oil, but we focus on refining margin hedging. In this study, the crack spreads are focused on the spread that exist between refinery's productions(gasoline, diesel, aviation kerosene, fuel oil) and raw material(Brent, Dubai crude oil) with different cracking ratios, contract's expiration months, and trading places, and try to find the proper hedging strategy for domestic companies. The main purposes of hedging is to stabilize the fluctuation in operating margins, decrease risk and increase profit. For the limits of data, we use Naïve Hedge and Selective Hedge as hedging strategy, and evaluate the strategies performance under different crack spread composinig, hoping to find a suitable way to the domestic refining company. The results are as follows:
1. For Formosa Petrochemical Company(FPCC), the performance of crack spreads naive hedging strategy is better than buying crude oil futures directly.
2. In the sample period, the returns of crack spreads selective hedging are positive, and the performance of this strategy is better than crack spreads naïve hedge strategy. Crack spreads selective hedging can generate profit and reduce risk for the oil refining companies.
3. The margin of hedging effectiveness decrease with the the return of unit risk increasing.

目錄
摘要 i
目錄 iii
表目次 v
圖目次 vii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第二章 文獻回顧 3
第一節 原油避險實證 3
第二節 價差避險實證 5
第三章 研究對象分析介紹 6
第一節 煉製原油到成品油的時間 6
第二節 原油成本差異 8
第三節 中油公司主要盈虧來源 10
第四章 研究方法 16
第一節 煉製價差(Crack Spread) 16
第二節 煉製比例(cracking ratio) 18
第三節 煉製時間 19
第四節 避險模型與策略 20
第五節 避險績效的衡量 22
第六節 不同地區油品交易 24
第七節 資料來源 25
第八節 研究期間 26
第五章 避險實證與結果分析 28
第一節 研究限制與假設 28
第二節 台塑石化(FPCC)–天真避險 28
第三節 台灣中油(CPC)–天真避險 37
第四節 台塑石化(FPCC)–選擇性避險 46
第五節 台灣中油(CPC) –選擇性避險 55
第六節 選擇性避險策略績效 63
第七節 避險實證小結 67
第六章 結論與建議 68
參考文獻 70
附錄 72

一、 中文部分
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2. 劉洪鈞、黃聖志與王怡丈(2008),「西德州與布蘭特原油避險策略」，真理財經學報，第十八期，頁71-98。
3. 林茂文(2011)，「油價預測的準度剖析」，石油通訊，730期。
4. 林筠、傅鍾仁(1993)，「我國進口油價風險管理之研究-原油期貨交叉避險」，證券市場發展季刊，頁42-56。
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二、 英文部分
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