摘要
本研究旨在探討油價波動性是否能夠預測股市的熊市，本研究以西德州原油及布蘭特原油的石油波動性作為變數分別預測美股三大指數是否會發生熊市，研究發現石油波動性確實對於各個股市熊市具有短期的預測能力，其中又以對標普500指數的預測力為最佳。在強韌性檢測的部分，本研究採用了兩種不同的實證模型及子樣本分析，在子樣本分析中，相較實證結果，部分期間的預測力下降，但對於標普500指數的表現仍為最佳。最後加入總體經濟變數作為干擾變數，以此研究石油波動性的預測力是否會因加入總體變數而有所差異，研究結果顯示，石油波動性在短期仍具有強烈的預測力，並且發現短期利率對於預測股市熊市也有具有相當的顯著性。
並列摘要
This study aims to investigate whether the volatility of oil can predict bear markets in the stock market. Using the volatility of West Texas Intermediate (WTI) crude oil and Brent crude oil as variables, this research predicts whether the three major indices of the U.S. stock market will experience bear markets. The study found that oil volatility does indeed have short-term predictive power for bear markets in various stock indices, with the best predictive power observed for the S&P 500 index.In terms of robustness testing, two different empirical models and subsample analyses are employed. In the subsample analysis, compared to the empirical results, the predictive power for certain periods decreases, but it remains the best for the S&P 500 index. Finally, macroeconomic variables are introduced as intervening variables to examine whether the predictive power of oil volatility differs when macroeconomic variables are included. The results show that oil volatility still exhibits strong short-term predictive power, and it is also found that short-term interest rates have considerable significance in predicting bear markets in the stock market.