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研究生:包孟晨
研究生(外文):Meng-Chen Bao
論文名稱:農產期貨價格與台灣股市之關聯性研究
論文名稱(外文):The Relationship between Agricultural Future Price and Taiwan Stock
指導教授:胡吳岳胡吳岳引用關係
指導教授(外文):Wu-Yueh Hu
口試委員:張恆瑜張國益
口試日期:2016-07-28
學位類別:碩士
校院名稱:國立中興大學
系所名稱:農業經濟與行銷碩士學位學程
學門:農業科學學門
學類:農業經濟及推廣學類
論文種類:學術論文
論文出版年:2016
畢業學年度:104
語文別:中文
論文頁數:62
中文關鍵詞:台股指數食品股指數原油價格穀物價格
外文關鍵詞:Taiwan stock indexfood indexpetroleum pricesgrains prices
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近年來國際大宗穀物價格和原油價格快速飆漲,隨後更因為氣候因素、人為因素以及全球經濟因素等影響而產生暴跌。因此,本研究使用VAR模型與VECM模型,探討國際大宗穀物價格與原油價格是否會對我國的股價指數帶來衝擊。其中股價指數包括台灣股價加權指數和食品股加權指數,國際大宗穀物則包括黃豆、小麥以及玉米。研究期間為2001年1月2日起至2015年6月22日為止之日收盤價,並且將研究變數分為台股加權指數為主的模型一和食品股指數為主的的模型二。
研究結果顯示,玉米、黃豆和石油具有長期之正向關係,且透過Granger因果關係發現玉米、黃豆和石油彼此雙向回饋。在台股指數方面,透過衝擊反應發現台股指數受到石油、黃豆和玉米正向衝擊,且在Granger因果關係檢定中亦發現石油、黃豆和玉米皆領先台股指數。食品股指數方面,本研究發現台灣的食品產業短期內不受穀物價格波動所影響,但是會受到石油價格和食品股指數自身前幾期的影響。另外,本研究發現在大宗穀物小麥、玉米以及黃豆之間的關聯性。透過預測誤差變異數分解可得知,玉米價格佔其他變數比例不高,但是卻佔了黃豆和小麥高比例可以被解釋的部分,分別為三成和四成。且透過模型一的VECM(3)黃豆和小麥會受到玉米價格前一期正相關之影響。


International grains'' prices are growing speedily in the recent years, the possible reasons of include severe weather conditions, anthropic factors and global economic factors. In this study, VAR and VECM model are used to investigate how the international grains'' prices pound the Taiwan stock market. The stock index in this study include Taiwan stock index and Food index, and international grains include soybean, wheat and corn. The investigation period is from 2001/1/2 to 2015/6/22 .Including two models, Taiwan stock index for model 1 and food index for model 2.
This study find that corn, soybean and petroleum have a long-term relationship. The results also show that corn, soybean and petroleum have a two-way feedback through the Granger causality test, which means that the development of biomass energy will enhance the relationship of corn, soybean and petroleum. Besides, from the Taiwan stock index, Taiwan stock index will be affected by the petroleum, soybean and corn prices. This study also find that petroleum, soybean and corn prices are leading Taiwan stock index through the Granger causality test. For the food stock index, this study find that Taiwan’s food industry will not be affected by the grain prices in the short-term, but will be affected by the past petroleum price and food index. Moreover, the relationship among corn, soybean and wheat were found. Through the Forecast Error Variance Decomposition, the proportion of corn price is lower than other variables, but higher proportion of soybean(30%) and wheat(40%) can be partially explained. And through the VECM of model 1, soybean and wheat prices will be positively affected by the previous period''s corn prices.


目錄
謝誌 i
中文摘要 ii
Abstract iii
目錄 iv
表目錄 vi
圖目錄 vii
第一章、緒論 1
第一節、研究背景 1
第二節、研究目的 4
第三節、研究方法與研究架構 5
第二章、文獻回顧 7
第一節、期貨 7
第二節、期貨和股市關聯性 9
第三章、研究方法 13
第一節、單根檢定 13
第二節、共整合檢定 16
第三節、Granger因果關係檢定 19
第四節、向量自我迴歸模型與誤差修正模型 20
第四章、實證分析 25
第一節、變數介紹 25
第二節、單根檢定 29
第三節、共整合檢定 32
第四節、Granger因果關係檢定 34
第五節、誤差修正模型(VECM) 35
第六節、向量自我回歸模型(VAR) 38
第七節、衝擊反應函數 40
第八節、預測誤差變異數分解 42
第五章、結論與建議 46
第一節、結論 46
第二節、研究限制與建議 47
參考文獻 49
附錄: 53
附表1:Twstock、Corn、Soybean、Wheat、Oil共整合落後2期Q檢定 53
附表2: Twstock、Corn、Soybean、Wheat、Oil共整合落後3期Q檢定 54
附表3:Fdi、Corn、Soybean、Wheat、Oil共整合落後2期Q檢定 55
附表4:Fdi、Corn、Soybean、Wheat、Oil共整合落後3期Q檢定 56
附表5:Fdi、Corn、Soybean、Wheat、Oil共整合落後4期Q檢定 57
附表6:Twstock、Corn、Soybean、Wheat、Oil VECM落後2期Q檢定 58
附表7:Twstock、Corn、Soybean、Wheat、Oil VECM落後3期Q檢定 59
附表8:Fdi、Corn、Soybean、Wheat、Oil VAR落後1期Q檢定 60
附表9:Fdi、Corn、Soybean、Wheat、Oil VAR落後2期Q檢定 61
附表10:Fdi、Corn、Soybean、Wheat、Oil VAR落後3期Q檢定 62

表目錄
表1- 1:台灣2015年農產品進口 2
表4- 1:變數簡介 26
表4- 2:基本統計敘述 26
表4- 3:單根檢定 31
表4- 4:共整合檢定之AIC值 32
表4- 5:共整合檢定結果 33
表4- 6:Granger因果關係檢定表 34
表4- 7:模型一之VECM(3)模型 37
表4- 8:差分後VAR之AIC值 38
表4- 9:模型二之VAR(3)模型 39
表4- 10:台股指數之預測變異數分解 43
表4- 11:食品股指數之預測變異數分解 43
表4- 12:石油指數之預測變異數分解 44
表4- 13:玉米價格之預測變異數分解 44
表4- 14:黃豆價格之預測變異數分解 45
表4- 15:小麥價格之預測變異數分解 45

圖目錄
圖1- 1:2014年台灣糧食自給率(熱量) 1
圖1- 2:研究流程圖 6
圖4- 1:穀物期貨和北海布蘭特原油價格走勢圖 27
圖4- 2:台灣股價走勢圖 29
圖4- 3:模型一之衝擊反應函數圖 40
圖4- 4:模型二之衝擊反應函數圖 41



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