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研究生:白凱元
研究生(外文):Kay-Yuan Pai
論文名稱:原油價格、匯市與台灣股價指數的關聯性:2008年金融危機前後的衝擊
論文名稱(外文):The Connection of Crude Oil Prices, Currency Market and Stock Market Index: Impact on Before and After 2008 Financial Crisis
指導教授:曾憲郎曾憲郎引用關係童永年童永年引用關係
指導教授(外文):Shan-non ChinYung-Nian Tung
學位類別:碩士
校院名稱:國立中山大學
系所名稱:經濟學研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2017
畢業學年度:105
語文別:中文
論文頁數:37
中文關鍵詞:2008 年金融危機VAR 模型預測誤差變異數Granger 因果關係檢定衝擊反應函數油價高漲股票報酬率
外文關鍵詞:stock return rateoil surgeimpulse- response functionvariance decompositionGranger causality testFinancial crisisvector autoregression model
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股票是一個國家的經濟櫥窗,2008年金融海嘯爆發時石油價格來到歷史的新高、股市大崩盤與美元升值。本文主旨為探討台灣在2001/01 /03至2016/12/30期間之台股加權指數、北海布蘭特石油價格與台幣匯率價格之關聯性,並以2007/08/09開始浮現的金融危機做切割以探討金融危機前後之差異。本研究使用VAR 模型(vector autoregression model)、Granger因果關係檢定、衝擊反應函數與預測誤差變異數來分析變數。
實證結果顯示在金融危機前後變數都被自身變數強烈的影響,而金融危機後變數之間互相影響的關係變大,Granger因果關係檢定結果顯示金融危機後石油價格變動率對匯率價格變動率與股票報酬率有單項因果關係,而匯率價格變動率與股票報酬率有雙向因果關係,所以石油價格變動率領先於另外兩個變數,而衝擊反應分析結果顯示石油與匯率對股市的衝擊為短期。
The stock market is the national economical display window. In 2008, financial crisis broke out and gave rise to oil prices increased, stock market crashing and US dollar appreciated.
The study analyzes the connection with the return on investment of TSEC weighted index,the rate of change of oil prices in Brent and the rate of change of the currency exchange rate from January 3rd, 2001 to December 30th, 2016.Also, the differences before and after financial crisis are discussed.
To analyze the variables, the study operates VAR model, Granger causality test, impulse- response function and variance decomposition.
The empirical results show that the variables had been impacted only by themselves before financial crisis, but the variables had been impacted by each other after financial crisis. After financial crisis, the rate of change of oil prices had been Granger caused the rate of change of the currency exchange rate and the stock return rate, and the rate of change of the currency exchange rate and the stock return rate had been Granger caused each other. It’s be fully proved that the rate of change of oil prices led the other variables. The results of impulse- response function show that all the impact was in short run.
論文審定書 i
摘 要 ii
Abstract iii
目 錄 iv
圖 次 v
表 次 vi

第一章 緒論 1
第一節 研究動機與目的 1
第二章 文獻探討 4
第二節 匯率與股價指數關聯性之研究 5
第三節 油價、匯率與股價指數關聯性之研究 6
第三章 研究方法 8
第一節 研究方法流程圖 8
第二節 單根檢定 9
第三節 向量自我迴歸模型 10
第四節 Granger 因果關係檢定 11
第五節 衝擊反應函數 11
第六節 預測誤差變異數分解 12
第四章 實證結果與分析 14
第一節 資料來源與處理 14
第二節 ADF 單根檢定 15
第四節 Granger 因果關係檢定 18
第五節 衝擊反應函數 19
第六節 預測誤差變異數分解 22
第五章 結論 26
參考文獻 28
參考文獻
(一) 中文文獻:
江素慧,2010。「次級房貸前後股價波動度與匯率、利率和油價關聯性之研究-亞洲股市之實證分析」。碩士論文。台北:世新大學財務金融學研究所。
吳宗隆、徐清俊,2003。「臺股市場與外匯市場報酬與波動關聯性研究雙變量GJR-GARCH (1,1)-M模型之應用」。『德明學報』。22期,89-104。
陳旭昇,2007。「時間序列分析-總體經濟與財務金融之應用」。(頁206-213)。台北:東華。
張芳倩,2006。「原油價格與大盤及類股股價指數之相關性」。碩士論文。嘉義:國立中正大學財務金融研究所。
楊奕農,2009。「時間序列分析:經濟與財務之應用」。(頁235-266。354-388)。台北:雙葉書廊。
劉怡孜,2011。「油價、金價、匯率與股價與股價關聯性之研究」。碩士論文。台北:世新大學財務金融學研究所。
鍾佳安,2002。「從一九七三年至二○○○ 年美國石油危機與對策看經濟安全概念」碩士論文。台北:國立政治大學外交研究所。
(二) 英文文獻:
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Dickey, D. A. and W. A. Fuller, 1981.“The Likelihood Ratio Statistic for Autoregressive Time Series and a Unit Root,” Econometrica. 49:1057–1072.
Ghosh, S. and K. Kanjilal, 2014. “Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests,” Energy Economics. 53:111-117.
Granger, C. W. ,1969. “Investigating Causal Relation by Econometric Model and Cross-Spectral Methods,” Econometrica. 36: 424-438.
Hamilton, J. D. ,1983. “This is what happened to the oil price-macroeconomy relationship,”Journal of Monetary Economics . 38 : 215-220.
Horng,W. J. and J. M. Chyan ,2009. “A DCC Analysis of Two Stock Market Returns Volatility with anOil Price Factor: An Evidence Study of Singapore and Thailand’s Stock Markets,” Journal of Convergence Information Technology. 4: 63-69.
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Kang, S.H.,and S.M. Yoon ,2014. “The impact of oil price on equity sector volatility in Korea,” Journal of Industrial Economics and Business. 4: 1527-1545
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