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研究生:謝佳璇
研究生(外文):Chia-Hsuan Hsieh
論文名稱:股市與原油期貨價格連動關係之研究
論文名稱(外文):Dynamic Relationships between Stock Market and Oil Futures
指導教授:溫秀英溫秀英引用關係
學位類別:碩士
校院名稱:長庚大學
系所名稱:企業管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:91
中文關鍵詞:原油期貨股價新興市場共整合因果關係向量自我迴歸模型向量誤差修正模型
外文關鍵詞:oil futuresstock marketemerging marketcointegration testGranger-causality testVARVECM
相關次數:
  • 被引用被引用:6
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  • 收藏至我的研究室書目清單書目收藏:5
本研究主要探討在2001年中以後原油期貨市場和全球股市雙雙上揚之際,西德州原油期貨價格與已開發國家股市和新興市場國家股市之間的連動關係,尤其要探討對原油需求量極高的新興市場國家股市與油價的關係。樣本期間為1997年1月1日至2006年12月29日,並將樣本期間以911後油價急速上漲作為切割,分為兩期探討。利用單根檢定,共整合檢定、向量自我迴歸模型(VAR)、向量誤差修正模型(VECM)以及多變量因果關係檢定作分析。
實證結果發現,原油期貨價格和各國股市皆為非定態變數,而在一階差分後為定態。在911之前,只有捷克、摩洛哥、台灣三個新興市場國家與原油期貨、美股具有共整合的關係。在911之後,不論是已開發國家或新興市場國家,與原油期貨、美股皆有長期均衡的共整合關係,因此可以向量誤差修正模型表現短期偏離均衡下,修正回長期均衡的動態調整過程。從因果關係的檢定結果發現,原油期貨對於已開發國家和新興市場國家的影響力相當小,但是在911之後,油價和股價之間的連結性已經慢慢增加。而美國股市已不如911前單向影響其他國家股市,而是與其他股市具有互動的影響。
The primary aim of this paper is to investigate the dynamic relationships between the prices of WTI (West Texas Intermediate) crude oil futures and the stock market returns in the developed and emerging economies using unit root test, cointegration test, vector error correction model and Granger-causality test. The samples were collected from January 1, 1997 to December 29, 2006.
The empirical results indicate that all variables are non-stationary but their first differences are stationary. Based on cointegration test, the long-term relationship existed among oil futures, S&P 500, and the stock market returns only in three emerging markets prior to the 911 attacks. However, there was a long-term equilibrium relationship among oil futures, S&P 500, and the stock market returns in each country after 911. Analysis of vector error correction mechanism shows that oil futures, stock market returns, and S&P 500 adjusted to correct disequilibrium among the three variables. Granger-causality test reveals a one-way causal direction from oil futures to the stock markets of Argentina, Brazil, Malaysia, Russia and South Africa after 911 while there were bi-directional causalities between S&P 500 and the stock markets in seven developed and emerging countries.
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………………………………………………………6

第二章 文獻回顧………………………………………………………8
第一節 原油期貨與原油現貨之關係…………………………………8
第二節 原油價格與股市之關係………………………………………11
第三節 股市與股市之關係……………………………………………19

第三章 研究方法………………………………………………………25
第一節 樣本選取………………………………………………………25
第二節 單根檢定………………………………………………………28
第三節 共整合檢定……………………………………………………29
第四節 向量自我迴歸模型……………………………………………31
第五節 向量誤差修正模型……………………………………………33
第六節 因果關係檢定…………………………………………………35

第四章 實證結果………………………………………………………39
第一節 變數之敘述統計量分析………………………………………39
第二節 單根檢定之實證結果…………………………………………41
第三節 Johansen 共整合檢定之實證結果…………………………43
第四節 向量誤差修正模型實證分析…………………………………49
第五節 因果關係檢定實證分析………………………………………58

第五章 結論與建議……………………………………………………65
第一節 結論……………………………………………………………65
第二節 研究限制與建議………………………………………………68

參考文獻…………………………………………………………………69
附錄………………………………………………………………………73
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