臺灣博碩士論文加值系統

自古至今，能源一直是人類賴以維生的重大資源之一，也是國家發展經濟的重要動力之一，而在所有的能源供給中，原油更是佔有舉足輕重的地位，這次因「需求面」所造成的上漲，和過去三次全球石油危機由「供給面」所造成的油價上漲有極大的不同。早期關於油價之議題，大多是探討與總體經濟關聯性為主，因此本研究延伸此議題，針對油價、一般金屬(銅)在橫跨所有產業上普遍性的分析，以台灣產業不同之特性，進一步了解受到不同因素影響之結果，本研究應用較能捕捉時間序列相關資料波動性的GARCH模型，探討油價、銅價與台灣產業分類股價指數之關聯性，進一步了解哪類分類股價指數會受到油價、銅價波動之影響。從實證結果可知油價落後一期報酬率與電機、運輸、百貨等股價指數呈現顯著且為負相關，表示油價前期報酬會影響電機、運輸、百貨等股價指數，在波動度方面也都相當顯著，所以也會造成波動群集的現象；銅價當期和落後一期報酬率與食品、塑膠、電器、造紙、鋼鐵等股價指數呈現顯著且為正相關，表示銅價當期和前期報酬率會影響食品、塑膠、電器、造紙、鋼鐵等股價指數；而且在波動度方面也都相當顯著，所以也會造成波動群集的現象。

Energy has been one of the major resources that human beings depend on for survival. It is also one of the main forces that drive economic development of a country. Among all energy supplies, crude oil plays a very significant role. The price increase due to demand is extremely different from the increase in the past three times of global oil crisis due to supply. Earlier issues on oil prices are on correlation with macroeconomicvariables. The author extends the issue on oil prices and common metal (brass) prices analysis across all industries. With the different characteristics of industries in Taiwan, the author further understands the results of different factors. The author adopts Garch model that better captures the data fluctuation of time array to explore the correlation among oil prices, brass prices and Taiwan industry group stock prices in order to understand which group stock prices will be affected by the fluctuation of oil and brass prices. From the evidence results, it is found that the return in one period behind of oil prices is in negative correlation with stock prices of electric machinery, transportation and department stores, meaning that the return in the precedent period of oil prices affects the stock price of electric machinery, transportation and department stores and the fluctuation is very ob-vious as well, causing fluctuation clustering. The return of current and one period behind of brass price is in apparent positive correlation with stock prices of foods, plastics, electric appliances, paper making and steel, etc showing that the stock prices are affected by the return of current and one period behind of brass price and the fluctuation is very obvious as well, causing fluctuation clustering.

1.1 研究背景與動機....1
1.2 研究目的..........3
1.3 本文架構..........4

第二章 文獻探討
2.1 油價與總體經濟關連性之文獻回顧...6
2.2 油價與股市關聯性文獻回顧.........9
2.3 一般金屬(銅)價格之背景說明.......12
2.4 股市波動性的內涵..............15
2.5 文獻綜合評析..................20

第三章 研究方法
3.1 資料來源.......21
3.2 單根檢定.......22
3.3 資料檢定.......25
3.4 一般化自我迴歸條件異質變異數模型......27

第四章 實證結果與分析
4.1 資料敘述.......30
4.2 基本統計處理....30
4.3 單根檢定........34
4.4 最自我相關適落後期數...35
4.5 關聯性回歸模型之分析...37
4.6 因果關係實證結果.......42
4.7 GARCH實證結果.........44

第五章 結果與建議
5.1 結論............50
5.2 研究限制.........51
5.3 後續建議與研究....52

文獻回顧.............53

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