- 學位論文
油價對亞洲四國航空業股價報酬之非線性影響
Nonlinear Effects of Oil Prices on Stock Returns of the Airline Industry: Evidence from Four Asian Countries
摘要
本文實證模型使用González, Teräsvirta and van Dijk (2004, 2005)的縱橫平滑移轉迴歸模型，探討不同的原油價格對亞洲四國航空業股價報酬是否存在縱橫平滑移轉效果。並進一步探討其他變數如原油價格、利率、匯率及ROE對航空業股價報酬的影響。 實證結果顯示，原油價格低並不代表就會有正報酬；反之，當油價上漲時，油價對股價報酬的影響為顯著負相關，但這觀點並不適用於日本與南韓市場。在絕大部分的原油價格區間上，匯率對中國與台灣的股價報酬為顯著正相關。然而，匯率對日本股價報酬為負相關；利率對四國的股價報酬皆為正相關。ROE對任何市場的股價報酬在任何門檻值的區間上都是無顯著影響，除了當原油價格介於105.8817~106.3475美元的時候，ROE對韓國的股價報酬才有顯著正相關。 綜合以上所述，本研究建議投資人在選擇航空產業投資時，不能只看原油價格低就投資，仍然需多參考總體經面如利率、匯率等去評估當時經濟與市場環境是否適合投資，再去觀察原油價格走勢會是較為合適的做法。
並列摘要
We adopt the panel smooth transition regression model developed by González, Teräsvirta and van Dijk (2004, 2005) to examine whether crude oil prices may cause smooth transition effects on airline’s stock returns in four Asian countries. In addition, we also evaluate the influence of some independent variables on stock returns. The empirical results are as below: Firstly, lower crude oil prices do not guarantee that there will be a positive return. On the contrary, when crude oil prices go up, it has a significant positive relationship with stock returns except in Japanese and South Korean stock markets. Secondly, in most of the crude oil price regimes, the exchange rate has a significant positive relationship with Chinese and Taiwanese stock returns. However, the exchange rate has a significant negative relationship with Japanese stock returns. In addition, the interest rate has a significant positive relationship with four countries’ stock returns. Finally, the influence of ROE on stock returns is not significant in the stock market in three of the four countries. However, ROE has a significant positive relationship with South Korean stock returns when the crude oil price is between USD $105.8817 and USD $ 106.3475. To summarize, investors are not advised to invest in the airline industry by merely considering crude oil prices. It is also crucial to look at macroeconomic aspects, e.g., the interest rate and the exchange rate. In other words, it would be better to estimate whether the economic conditions and the market environment for the present are suitable for investment before considering the crude oil prices.