臺灣石化產業上中下游股價指數之關聯性

本文主要探討臺灣石化產業上中下游股價加權股價指數之間的關聯性。選取民國93年1月2日至95年12月29日期間，參考臺灣證券交易所發行量加權股價指數編製之方式，編製臺灣石化產業上中下游各發行量加權股價指數，再探討彼此間之關聯性。研究方法利用傳統單根檢定及Bierens(1997)、Breitung(2002)非線性單根檢定，測試變數是否為穩定序列；再以Johansen(1988,1990,1992,1994)最大概似估計法及Bierens (1997)、Breitung(2002) 非線性無母數共整檢定法，檢定變數間是否存在長期均衡關係；運用線性及非線性因果關係檢定方法探討變數間領先落後關係；亦以一般化及非線性衝擊反應函數，檢定變數間短期互動關係。實證結果發現：各變數在差分後呈現定態；變數間不存在長期均衡關係；由非線性因果關係檢定，上游指數與中游指數間及中游指數與下游指數間，不存在領先落後的因果關係，而下游指數對上游指數有領先關係；由非線性衝擊反應，上游指數對中游指數及上游指數對下游指數在短期內均有明顯正向衝擊反應，而中游指數對下游指數亦然。

關鍵字

臺灣石化業股價指數；單根檢定；共整合檢定；因果關係；衝擊反應；非線性分析

並列摘要

This study explores the relationship between the upper stream stock index,the middle stream stock index, and the lower stream stock index of the petro-chemical industry in Taiwan. Specifically, the relationship between these indexes respectively from Jan. 2nd, 2004 to Dec. 29th, 2006 will be examined. Firstly, this study measures the stationarity of variables with traditional unit-root test method and nonlinear unit-root test by Bierens(1997) and Breitung(2002). Secondly, we examine the long-run equilibrium among variables via Maximum Likelihood Estimation by Johansen(1988,1990,1992,1994) and nonlinear Nonparametric cointegration test by Breitung(2002). The lead/lag relationship among variables is investigated by linear and nonlinear Granger Causality Test as well. By exerting traditional and nonlinear impulse response function, this study examines short-run interactive relationship among variables,too.The empirical results are as follow ：(1) After 1st difference,these variables become stable. (2)There is no long-run equilibrium relationship among variables. (3) There is no lead/lag relationship between the upper stream stock index versus the middle stream stock index and the middle stream stock index vs.the lower stream stock index in Granger Causality Test. The lead/lag relationship only exists between the lower stream stock index and the upper one.(4)The impulse response function exists between the upper stream stock index versus the middle one ,the upper one vs. the lower one and the middle one vs. the lower one.

並列關鍵字

the stock indexes of petrochemical industry in Taiwan ； Unit-root test ； Cointegration test ； Granger causality ； Impulse response ； Nonlinear test

參考文獻

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國際替代計量

臺灣石化產業上中下游股價指數之關聯性

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