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研究生:劉敏如
研究生(外文):LIU, MIN-RU
論文名稱:原油波動率對股票波動率之短期預測能力
指導教授:賴靖宜賴靖宜引用關係郭良瑋
指導教授(外文):LAI, JING-YIKUO, LIANG-WEI
口試委員:周淑卿賴靖宜郭良瑋蔡佩蓉
口試委員(外文):CHOU,SHU-CHINGLAI, JING-YIKUO, LIANG-WEITSAI, PEI-JUNG
口試日期:2020-07-02
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融系研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2020
畢業學年度:108
語文別:中文
論文頁數:44
中文關鍵詞:原油波動股價波動原油生產國原油進口國
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本論文依據各國原油產量以及原油進口量將分為兩類-主要原油生產國家以及主要原油進口國家,各選取十七個國家作為研究樣本,共三十四個國家,樣本期間為2008年1月至2019年12月。分別從樣本內和樣本外的角度,檢視原油價格波動是否能夠預測短期內的股票價格波動。首先,將原油價格波動添加到自我迴歸模型(Autoregressive, AR)中進行股票價格波動的樣本內預測,檢測各國加入原油價格波動後是否對股票價格波動具有顯著的預測能力。再來,根據Wang, Wei, Wu, and Yin(2018),分別使用遞迴法(Recursive Estimation Window)及滾動迴歸估計(Rolling Estimation Window)做樣本外的模型評估。
實證結果發現共有八個國家的原油價格波動對未來股票價格波動具有顯著的影響力,兩類國家各有四國,顯見股市波動受原油價格波動的影響不因其為原油生產或進口國而有系統性的差異。整體而言,加入西德州輕質原油波動的結果優於加入布蘭特原油波動的結果,而八個國家中,主要原油生產國家在加入原油波動後所增加的判定係數高於主要原油進口國家。八國加入原油價格波動能夠提高預測準確性,其中主要原油生產國家加入原油波動進行預測的結果誤差值小於主要原油進口國家的結果。以上結果並未有統計檢定的支持,是否有顯著差異仍需要進一步檢定。

第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 3
1.3 研究架構 3
第二章 文獻探討與回顧 4
2.1 股票與總體經濟的關係 4
2.2 原油與總體經濟的關係 4
2.3 原油與股票市場的關係 5
第三章 研究方法 8
3.1 樣本選擇與資料來源 8
3.2 研究變數 8
3.3 實證研究模型 10
3.4 預測評估 12
第四章 實證結果 14
4.1 敘述性統計 14
4.2 樣本內預測績效結果 22
4.3 樣本外模型評估結果 29
第五章 結論 41
參考文獻 42
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