油價與匯率資訊內涵之研究

The Information Contents of Crude Oil Price and Exchange Rate

尤嘉民(Chia-Ming Yu)

指導教授 ： 倪衍森

淡江大學/管理學院/管理科學研究所碩士班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00526

摘要

過去研究鮮少利用事件研究法去探討其他金融市場的事件，是否造成股票產生異常報酬。本研究嘗試利用事件研究法去探討匯率、原油價格的短期波動對台灣產業股價之影響，而短期波動的事件定義上分別依指標價格的變化幅度與漲跌連續天數作設定，匯率部分為「0.15%≦匯率升貶值幅度＜0.3%」、「0.3%≦匯率升貶值幅度＜0.5%」、「匯率升貶值幅度≧0.5%」、「連續兩天的匯率升貶」、「連續三天的匯率升貶」、「連續四天的匯率升貶」、「連續五天的匯率升貶」；油價部分為「2%≦油價漲跌幅度＜3.5%」、「3.5%≦油價漲跌幅度＜5%」、「油價漲跌幅度≧5%」、「連續兩天的油價漲跌」、「連續三天的油價漲跌」、「連續四天的油價漲跌」、「連續五天的油價漲跌」。
匯率與油價的研究樣本分別為一美元兌台幣的匯率與西德州每桶原油價格的現貨價格，而股價樣本除了19項台灣一般產業類股指數外，另外將電子產業區分成11項次產業去作探討，研究期間為2000年1月至2006年12月。
本研究實證結果如下：
1.隨貶值幅度的增加，台股受其影響產生的跌勢愈明顯，但在跌幅最劇烈時會出現反彈；而升值幅度愈大，台股產生的正報酬愈明顯，但劇烈的升幅雖對台股仍有激勵作用但較不顯著。
2.台股因連續兩天的匯率升貶，分別產生正面與負面反應；而整體股市對連續三天的升貶無一致反應；連續四天的匯率升貶會造成台股全面性的漲跌；連續五天的貶值會產生反彈，但連續五天的升值仍有上漲之現象。
3.油價的微幅漲跌皆對台股帶來正報酬；而隨著幅度的增加，油價上漲與下跌分別對台股產生正面與負面反應；但當油價出現劇烈的漲幅或跌幅時，台股皆出現負報酬。
4.油價連續漲跌兩天，台股分別呈現正與負的報酬表現；而連續三天的油價上漲帶來的負面衝擊較油價下跌來的明顯，但在電子股仍有正報酬表現；而連續四天的油價下跌帶來的負面衝擊較油價上漲來的明顯，但電子股同樣有正報酬表現；油價的上漲或下跌達連續五天時，台股有全面正報酬表現。
5.歸納具有投資內涵之產業，強化了「匯率升值，股市上揚；匯率貶值，股市下挫」以及「油價上漲，股市下跌；油價下跌，股市上揚」之定律。

關鍵字

油價 ； 匯率 ； 事件研究法

並列摘要

Few literatures in the past took Event Study method to examine whether other financial market events cause abnormal returns in stock market. This study intends to examine the effect of the short-term volatility of crude oil price and exchange rate to Taiwan industrial stock index by Event Study method. The definitions of the events are depended on the change range and continuous days of the target prices’ up and down.
The empirical results of this study are as follows:
1. The more exchange rate depreciation range increased, the more stock index fell. However, stock index reversal appears as depreciation crashed. In the other hand, the more exchange rate appreciation range increased, the more stock index rose. However, most sharply appreciating still stimulate stock index rise, but it was not significant.
2. Owing to exchange rate appreciation (depreciation) in continuous two days, the reaction of Taiwan stock index is positive (negative). The whole stock index reactions are not identical to appreciation or depreciation in continuous three days. It causes the whole stock index rise in continuous four days appreciation, but depreciation causes fall. It causes the whole stock index reversal in continuous five days depreciation, but appreciation still causes it rise.
3. Whether oil price slightly rise or fall, stock index appear positive return. However, as the range increases, oil price rise causes stock index positive, and fall causes negative. But when oil price rise or fall most sharply, all stock return are negative.
4. Owing to oil price rise (fall) in continuous two days, stock index return is positive (negative). Whether oil price is rise or fall in continuous three days, they cause stock return negatively, but the former is more significant. However, whether oil price is rise or fall in continuous four days, they cause stock return negatively, but the latter is more significant. Whether oil price is rise or fall in continuous five days, they cause the whole stock index return positively.
5. It strengthens the theories “exchange rate appreciation (depreciation) causes stock index rise (fall)”and “oil price rise (fall) causes stock index fall (rise)”.

並列關鍵字

Crude Oil Price ； Exchange Rate ； Event Study Method

參考文獻

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