臺灣博碩士論文加值系統

本研究利用多種時間序列方法，探討1990/09－2006/01間台灣加權股價指數、原油現貨、原油期貨、黃金現貨與黃金期貨之連動關系。運用無母數共整合檢定發現，股價指數、原油與黃金價格三者之間存在長期穩定均衡關係。而從Granger因果關係實證發現，原油與黃金價格單向地領先股價指數；原油現貨與期貨、黃金現貨與期貨皆存在雙向的回饋關係；原油現貨與期貨單向地領先黃金現貨與期貨。另由衝擊反應分析得知，原油期貨較具獨立性；股價指數比較脆弱，易受其他變數影響，其影響力也最差；原油現貨與期貨的影響力最顯著。最後由預測誤差變異數分解的實證結果，觀察出股價指數的波動容易受原油現貨及期貨變異的影響；而原油期現貨對其他變數波動之解釋能力最強。綜合以上結論，得知原油價格的影響力最大，故在投資股市時，一定要正視油價波動所帶來的衝擊。

The research tries to utilize many time series methodologies to discuss theinteractive relationship between the price of Taiwan weighted stock index、crude oiland gold from Sep,1990 to Jan, 2006 . Use the Bierens’s nonparametric cointegration test to find there exists a long run stable equilibrium relationship between the chosen variables .And from the Granger causality test, several findings are to be noted . First, unidirectional causality running from the price of gold and crude oil to stock index is found . Second, bidirectional causality exists between gold spot price and gold future price . There also exists feedback between crude oil spot and crude oil future . Finally, unidirectional causality runs from the price of spot and future of crude oil to the price of spot and future of gold . From the Impulse Response, crude oil future price is more independent, stock index is most easily affected by other variables . The influence of crude oil spot and future are most significant . From the Variance Decomposition, the crude oil spot and future account for a quite large percentage of the forecast error variance in stock index . So we can conclude that the shock resulted from crude oil price is necessary to note when investing in stock market .

摘 要 i
Abstract ii
表目錄 iv
圖目錄 v
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 研究架構 5
第二章 文獻回顧 7
第一節 油價部分 7
第二節 金價部分 8
第三章　研究方法 10
第一節 單根檢定 10
第二節 共整合檢定 16
第三節 Granger因果關係檢定 19
第四節 衝擊反應函數 22
第五節 變異數分解 23
第四章 實證結果與分析 25
第一節 資料收集與整理 25
第二節 實證結果與分析 28
第五章 結論與建議 41

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