臺灣博碩士論文加值系統

本研究主要目的在探討能源價格對石油與天然氣公司股價報酬的衝擊，研究樣本包含Dow Jones EURO STOCC Oil &; Gas指數成分股，資料期間涵蓋自2005年4月22日至2009年12月14日止。本研究的能源價格變數包含碳權、石油、天然氣、煤炭及電力等。此外，為探討能源變數石油與天然氣公司股價報酬率的影響，是否因京都議定書實施前後而有不同，本研究進一步將樣本依京都議定書實施日，分成二個子樣本期間，第一個子樣本期間涵蓋歐盟碳權交易第一階段期間(2005年4月22日至2007年2月31日)，而第二子樣本期間則為京都議定書規範期間(2008年1月1日至2009年12月14日)。

因資料型態為縱橫資料(Panel Data)，因此本研究利用Panel Data模型進行分析，結果發現直接採用OLS模型估計之效果，優於固定效果及隨機效果模型。實證結果顯示，石油與天然氣公司股價報酬率會受到石油價格的影響，其影響呈現正向關係，與先前相關文獻之結論相同。另外，碳權、天然氣、煤炭於京都議定書實施資料，未發現統計上之顯著效果，但京都議定書實施後，石油與天然氣公司股價報酬率與碳權價格及煤碳價格呈現正向關係，而與天然氣價格則呈現負向關係，推論可能是京都議定書實施後所造成的影響。最後，電價對於石油與天然氣公司股價報酬率，並未發現任何統計上顯著關係。

本實證研究結果確認了京都議定書已造成產業的衝擊，將有助於說服政府或民間企業，應更積極的規劃及投入相關的預算及人力，以因應未來國際上有關節能減碳規範的衝擊。除此之外，本研究也就結果提出些許解釋及看法，供後續學者進行證實及討論之，並期待該研究有拋磚引玉之效，使後續能有更多人投入碳權及能源等相關議題的研究工作。

The main prupose of this article is to examine the empirical relationship between energy prices and the stock returns. The data used in this study includes the component stocks from Dow Jones EURO STOXX Oil ＆ Gas index, the carbon rights from EU Emission Allowance(EUA), as well as the energy prices, such as oil, matural gas, coal and electricity prices. The sample period covers the period from April 22, 2005 to December 14, 2009. To further explore the impact of Kyoto Protocol on the relationship between energy prices and stock market, this study decomposed the data into two sub-period samples. The first sub-sample is the EU ETS Phase I from April,22,2005 to December,31,2007, while the second one is the Kyoto period from January 1,2008 to December 14,2009.

Using the Panel Data approach, we discover that the pooled OLS model is more suitable in the analysis than the fixed-effects or random-effects model. Our results suggest that oil price changes have positive impacts on the stock returns of oil and gas companies. In addition, during pre-Kyoto period we find no evidence for the relationship between the EUA, gas and coal price changes and the stock returns. During Kyoto period, however, we find that there are positive impacts of the EUA and coal price changes on the stock returns, wheares there are negative impacts of natural gas price changes on the stock returns. Finally, no evidence is found for the impact of electricity price changes on the stock returns of oil and gas corporations.

The result suggests that the Kyoto Protocol have impacts on the Oil and Gas stock returns. Besides, we provide some possible explanations for such a relationship. This study gives further insights into the academic and empirical studies on the topic of CO2 emissions.