本篇文章主要在探討油價和太陽能電池公司股價之間的關係,在一般人的認知裏當油價上漲時,太陽能電池公司的股價也應該有一定程度的表現,在本篇研究中,使用了First Solar Inc.(FS)[太陽能電池公司股價],National Association of Securities Dealers Automated Quotations (NAS)[科技指數]和油價(OIL)[使用WTI西德州輕原油指數]以及利率(RATE)[使用U.S. 3-Month Treasury Bill]四個變數建構一個向量自我迴歸(VAR)模型,而其中太陽能電池公司股價和油價的相關係數高達0.81。 最後實證發現太陽能電池公司的股價受油價和利率的Granger因果關係比較大和顯著,也就是油價(OIL)和利率(RATE)提供了預測太陽能電池公司(FS)的股價所需的資訊。而受到科技指數的Granger因果關係影響程度比較小,符合原先預期的結果。由衝擊反應函數可知,太陽能電池公司股價對於來自油價(油價上漲)的正向衝擊,大部份時間是上漲的。由預測誤差變異數分解結果來看,太陽能電池公司股價自身變數一定比例的預測誤差波動可被來自油價、利率和太陽能電池公司股價的外生衝擊所解釋,一開始科技指數的解釋比例較高,而油價、利率對於太陽能電池公司股價的預測誤差初期有著相對較小的相對解釋力,但經過一段時間過後,其可解釋預測誤差的比例會隨之增加。
This study primarily investigates the correlation between oil price and the stock price of Solar Cells Company. In general, when oil prices rises, the price of Solar Cell Company should shares the similar pattern. In this study, we use the four indexes: Canadian Solar Inc. (FS) [Solar Cells Company price], National Association of Securities Dealers Automated Quotations (NAS) [science and technology index] and oil prices (OIL) [use of WTI West Texas light crude oil index] as well as the interest rate (RATE) [use of U.S. Treasury Bill 3-Month] to construct a vector autoregression (VAR) model. The results show that the correlation between FS and OIL is 0.81. Finally, empirical results display that solar cell company stock price has larger Granger causality with oil prices and rate, whereas that has smaller Granger causality with NAS. That is, OIL and RATE provides larger prediction information in the stock price of FS. Based on Impulse Response Function, the stock price of FS raised in the most periods. Moreover, based on the forecast error variance decomposition results, a certain proportion of forecasting error volatility of solar cell company itself is coming from the oil price, NAS, interest rates and other exogenous shocks. First, NAS provides higher explanation. However, after some periods, the explanation of oil price and interest rates also increase.