石油價格對亞洲四小龍股市非線性之影響關係探討

The study of nonlinear relationship on the impact of the oil price fluctuation on the East Asian Tigers stock market performance

涂柔卉(Jou-Hui Tu)

指導教授 ： 聶建中

共同指導教授 ： 張倉耀

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.00120

摘要

石油在人類生活與經濟活動中向來扮演極重要的角色，其價格波動將影響一國的經濟發展，而股價指數又是直接反應經濟景氣好壞的領先綜合指標，故石油價格波動對股價指數的影響，一直為眾人關注的焦點。
過去的文獻探討油價波動對股價指數報酬率的影響時，多為兩者間線性關係之探討，至於油價波動對股價指數報酬率是否存在非線性影響之研究則不多見；故本文以非線性的平滑移轉迴歸模型，採用1988年1月至2008年6月之246筆月資料，分析油價波動對有相似經濟發展背景、人均國內生產總值皆持續增長、同樣為石油消費國的亞洲四小龍──台灣、新加坡、香港、韓國四個國家的股價指數報酬率分別受油價波動之影響。
實證結果發現油價波動對台灣、新加坡、香港、韓國股價指數報酬率皆存在非線性之影響，皆有顯著的門檻值。當油價處於高檔，油價波動率與股價指數報酬率呈現負相關；當油價處於低檔，油價波動率與股價指數報酬率呈現正相關。其中又以新加坡股價指數對油價波動的反應速度最快，韓國股價指數則需經過較長的時間才會反映完畢油價帶來的衝擊效果。

關鍵字

石油價格 ； 股價指數報酬 ； 平滑移轉迴歸模型

並列摘要

Petroleum has always been playing a heavy role in the everyday life and the economic activities of the human society. The oil price fluctuations affect greatly on a country's economy development. As a leading indicator of the growth of an economic, stock market index and its relationship with the oil price fluctuation has been the center of attention for people who wish to understand the reason behind the growth of an economy.
Over the past, studies on the impact of the oil price fluctuation on stock market index performance usually explore the subject on the linear relationship between the two. Hardly any study investigates the nonlinear relationship. This Study utilize the Smooth Transition Regression Mode to analyze the nonlinear impact of the oil price on the stock market of the East Asian Four Tigers-Taiwan, Singapore, Hong Kong and Korea for their similar economic development background and the continues growth of GDP per capita from January 1988 to June 2008.
It is evident that there was a nonlinear impact of the oil price fluctuation on the stock market performance of East Asian Four Tigers-Taiwan, Singapore, Hong Kong and Korea with significant threshold. When oil prices are high, the fluctuation of the oil price and the rate of return on stock index have a negative correlation; when oil prices are low, the fluctuation of the oil price and the rate of return on stock index has a positive correlation. Among them, the Singapore stock market has the quickest respond to the oil price fluctuation, the South Korea stock price index needs much longer period to completely reflect the impact of the effect of the oil prices fluctuation.

並列關鍵字

oil price ； stock return ； Smooth Transition Auto Regression

參考文獻

李仁君(2009)，三大法人在期貨市場買賣超對股價報酬率非線性影響之探討，淡江大學財務金融學系碩士在職專班碩士論文。

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