原油可說是我們日常生活中無可或缺的能源之一，對於整體經濟而言更是扮演著重要的角色，在面臨著高油價時代的到來，原油價格的波動性也與日遽增，石油產業與整體市場的走勢是否因此而有所調整，將是投資人關切的議題。
　 本研究以美國為例，主旨在探討原油價格（Oil）、原油期貨與現貨差（Spread）和道瓊工業指數對上下游整合型石油公司的影響為何，其研究發現，整合型石油公司受道瓊工業指數的影響不大，且公司間彼此股價的因果關係不顯著。經由脈衝反應函數顯示，市值較大的石油公司股價的變動對於其他小型石油公司具有較高的影響力。
　 在長期趨勢方面，五間石油公司彼此無共整合現象，但經由油價相關變數的加入，可產生出一組共整合向量。而在短期的變動方面，Spread 可解釋五間石油公司的短期變動，表示投資人對於石油公司股價的投資會將油價期貨與現貨的變動列為考量的因素之一，而油價現貨短期的變動無法由石油公司之股價和Spread 來解釋之。

The crude oil is one of the major energy resources in our lifetime and plays its crucial role in our economy. How the stock prices of the oil industry will react to the foreseeable rising price that is important issue needed to be investigated.
This research analyzes the relationship among oil price、Spread、Dow Jones Index and five integrated oil and gas companies which are traded in NYSE. We found that the stock prices of all five companies were not related to Dow Jones Index and themselves according to the Granger-Causality test. We also found that the movement of Exxon’s stock prices has significantly impact on the stock prices of the other four oil companies based on the results of the impulse function.
In the long run, the five company’s stock prices, oil price and Spread are jointly cointergrated, but not for only five companies considered. According to the VECM (Vector Error Correction Model), Spread could affect the changes in five oil company’s stocks in short run, but not vice versus. It may explain that the investor would pay more attention on the future volatility of oil price into their investment strategies.

第一節第一章........................................................................................................................1
第一節　 研究背景...........................................................................................1
第二節　 研究動機與目的...............................................................................3
第三節　 研究對象與期間...............................................................................5
第四節　 論文架構...........................................................................................6
第二章 相關文獻回顧...........................................................................................7
第一節　 國際油價與市場股市之相關文獻回顧..........................................7
第二節　 國際油價與石油公司之相關文獻回顧........................................10
第三章　 理論模型與研究方法...........................................................................13
第一節　 恆定與非恆定.................................................................................13
第二節　 單根檢定（Unit root test） ....................................................14
1. AUGMENTED DICKEY – FULLER TESTS..............................................14
第三節　 Granger 因果關係之檢定.............................................................15
第四節　 向量自我迴歸（VAR） ..................................................................17
第五節 衝擊反應函數.................................................................................18
第六節　 共整合及向量誤差修正模型（VECM） ........................................19
第四章　 實證研究分析.......................................................................................22
第一節　 資料來源與轉換.............................................................................22
第二節　 ADF 單根檢定..................................................................................22
第三節　 Granger 之因果檢定分析.............................................................27
第四節　 VAR 之脈衝函數分析.....................................................................31
第五節　 共整合實證分析.............................................................................41
第六節　 VECM 實證分析................................................................................53
第五章　..................................................................................................................61
第一節　結論...................................................................................................61
第二節　研究限制與未來研究方向..............................................................63
參考文獻..................................................................................................................64

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