油價對產業股價的影響

The Impact of Oil Price Change on Industrial Stock Prices

李怡慧(Yi-Huey Lee) ； 邱瀚（禾恩）(Han-En Chiu) ； 廖惠珠(Huei-Chu Liao)

《農業與資源經濟》 8卷1期 (2011/06) Pp. 65-89

https://doi.org/10.29796/ARE.201106.0003

摘要

本研究探討國際油價變動對不同產業股價報酬之影響。由於國際油氣產業多於美國紐約證券交易所上市，故本研究以該交易所上市公司為研究對象。利用該所1995年1月至2010年2月的資料，進行跨產業的比較分析，藉此釐清油價變動對各產業實際的影響。文中以多因子模型及縱橫資料模型分析法進行實證研究，探討原油期貨價格、利差、市場因子、市值與淨值市價比與公司股價之關連。實證結果發現：油價上漲對於油氣產業、礦業之股票報酬皆有顯著正向影響，運輸業與銀行業為顯著負向影響，而油價變動對電腦設備業則較無影響。市場超額報酬、市值變動率與淨值市價比皆對於各產業之股票報酬有顯著正向關係。至於利差變動對於油氣產業及礦業之股票報酬有顯著之負向關係。進一步區分規模大小兩種投資組合，結果顯示油價變動對小規模公司的股票報酬有較大的衝擊力。

關鍵字

石油價格 ； 股票報酬 ； 產業分析

並列摘要

This paper tried to investigate the impact of crude oil price movement on stock returns of different industries. Samples from New York Stock Exchange (NYSE) are selected since most of the international oil and gas industries are listed in NYSE. Using these monthly data from January, 1995 to February, 2010, the cross-industrial comparison is implemented to capture the impact of oil price movement on different industries. The empirical results are derived by applying the multifactor model and panel data methods, which indentify the effect of future crude oil price, interest rate, market excess return, change of market value and B/M ratio on the stock returns.Our findings indicate that oil price return have a positive impact on the stock excess returns for the oil and gas and mining industries, but negative impacts on transportation and banks industries, while, no effect on the computer equipment industry. Market excess return, change of the market value, and B/M ratio also have significantly positive impacts on the industries stock excess returns, while the interest rate spread factor has significantly negative impact on oil and gas and mining industries' stock excess returns. Furthermore, we divide firms into small and large-sized groups. The empirical results show that oil price changes have larger impacts on the stock excess returns of small firms.

並列關鍵字

Oil Price ； Stock Return ； Industrial Analysis