OPEC量產決議對布蘭特原油價格的影響：單變量GJR-GARCH模型的應用

影響原油價格最主要的因素為供給和需求，而OPEC量產決議反映了供給量，因此OPEC量產決議對現貨價格的影響力常為投資人作為進出原油市場的重要依據之一。本研究以2001年1月2日至2018年9月28日的布蘭特原油現貨每日收盤價為研究對象，利用具有學生t分配的單變量GJR-GARCH計量經濟模型，探討OPEC量產決議對布蘭特原油現貨報酬平均數與變異數的影響。本研究發現，就事件短期影響期間而言，OPEC量產決議分別對現貨報酬平均數與變異數沒有影響，且同時對現貨報酬平均數與變異數也沒有影響；就事件長期影響期間而言，除OPEC量產決議下未平倉量對現貨報酬平均數有影響和OPEC量產決議對現貨報酬變異數有影響外，其他分別對現貨報酬平均數則無影響，而OPEC量產決議同時對現貨報酬平均數與變異數沒有影響。此外，本研究進一步定義不同事件影響期間為事件日當天、事件連續兩個交易日及事件前一個交易日(開會日當天)進行穩健性分析。發現OPEC量產決議分別和同時對布蘭特原油現貨報酬平均數與變異數皆不顯著，即本研究的實證結果具有穩健性。因此可歸納OPEC量產決議對布蘭特原油市場的影響力有限，本研究的結果可作為投資人的參考。

關鍵字

OPEC量產決議；布蘭特原油；單變量GJR-GARCH模型；計量經濟；穩健性分析

並列摘要

The main factor affecting the price of crude oil is supply and demand, with the amount produced by OPEC reflecting the supply. Hence, the amount that OPEC can produce, which has a strong effect on the price of the current stock, has always been a basis for investors in the crude oil market during imports and exports. This study determines the daily closing price of Brent crude oil from January 2, 2001, to September 28, 2018. The Student t distribution is used to investigate the degree to which OPEC production announcements regarding Brent crude oil affect the mean remuneration and standard variance by using the univariate GJR-GARCH econometric model. This study demonstrates that over a short period, the amount of oil produced by OPEC has no effect on the mean remuneration, standard variance, or combined mean remuneration and standard variance. Conversely, over a long period, except open interest under the amount of oil produced by OPEC has an effect on the mean remuneration, and the amount of oil produced by OPEC has an effect on the standard variance, but the others have no effect on the mean remuneration. The amount of oil produced by OPEC does not affect either the mean remuneration or standard variance of the current stock. This study also conducted a robustness analysis by considering a different scenario. The time period will be the event day, two continues days of event day and the day before the event day. The amount of oil produced by OPEC during these days is discovered to not affect the mean remuneration and standard variation of Brent crude oil; the results obtained in this study are thus robust. However, the amount of oil produced by OPEC has only a weak effect on the Brent crude oil market. The results of this study can serve as a reference for investors.