油價與股市波動影響研究-以台灣股市為例

A Study on the Impact of Oil Prices and Stock Market Fluctuation – Evidence from Taiwan

李維邦(Wei-Pang Lee)

指導教授 ： 倪衍森

淡江大學/商管學院/管理科學學系企業經營碩士在職專班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00052

摘要

本研究探討國際油價對股價變動的影響，本文研究2011到2015年台灣證交所上市公司之中的台灣50成分股為研究樣本，並以財金計量方法來萃取股價與油價是否有短期關係，或是長期關係的代理變數，並獲致下列重要的實證結果：其一、油價對台灣企業的股價有著亦步亦趨的長期關係，且油價對各產業的影響中以電子業尤為顯著。二、除董監事持股比率與公司價值有正向關係、董監事持股質押比率與公司價值有負向關係外，本研究亦發現油價與股價有連動性的公司亦對公司價值亦有正向影響，此顯示這些股價易受到油價變動的公司，反而有可能採用降低油價波動的措施，進而有助於其公司價值的提升。

關鍵字

原油價格 ； 公司治理 ； Granger因果關係 ； 股價

並列摘要

This study investigates the effect of the information in terms of oil prices to the movement of stock prices for the constituent stocks of TW 50 listed on Taiwan Stock Exchange. By retrieving the Granger causality and Cointegration as the proxies of the short-term and long-term relationships between oil prices and stock prices, this study derives the following important findings. First, the cointegation relationships are revealed for the constituent stocks of TW50, especially for the firms falling in electronic industry. Second, aside from that directors’ holding ratio and directors’ pledge ratio would have positive and negative effects on firm value, respectively, this study reveal that the firm value would be enhanced for firms whose share prices are sensitive with oil prices. We argue that these firms might adopt hedging strategies to reduce the influences of oil volatilities, which might be beneficial for firm value enhanced.

並列關鍵字

Crude oil price ； corporate governance ； Granger causality ； stock price

參考文獻

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