油價、乾淨能源指數與MSCI全球指數 關聯性之研究

The Study of Relationship among Oil Price, Clean Energy Index and MSCI World Index

黎光殷(Guang-Yin Lee)

指導教授 ： 胡為善 ； 姜樹翰

中原大學/商學院/企業管理研究所/碩士(2011年)

https://doi.org/10.6840/cycu201100603

摘要

縱使石油對於現今社會的發展扮演著相當重要的地位，但其所隱含的問題如油價變動劇烈、蘊藏不足危機、及氣候環境破壞議題等，使得替代能源的發展成為未來趨勢。
因此，本研究特別探討油價、替代能源指數及全球指數(MSCI)之關聯性，由於Wilderhill乾淨能源指數(ECO)是一著名的替代能源指數，因此本研究以ECO來代表替代能源指數，且將油價走勢區分成三段期間，且以VAR、VECM及Granger因果檢定等計量方法分析，探討三者油價、MSCI及ECO間在不同油價漲跌情況下，是否具有因果及長期均衡關係。實證結果歸納如下：
1.本研究發現只有在油價大幅下跌後的第三段期間，三者間才有長期均衡關係存在，其中ECO與油價呈現顯著地負相關之關係，但其與MSCI全球指數則呈現顯著地正相關之關係。
2.由因果檢定之結果顯示開始時只有MSCI領先ECO，但到後來發現油價、ECO及MSCI三者間均呈現互為因果關係，顯示他們彼此間的互動關係越來越強烈。
3.由預測誤差變異數分解的結果顯示，ECO與油價最具解釋能力者皆為自己本身，而在MSCI部份，其本身及ECO兩者都有相當重要的解釋能力；另而從衝擊反應函數結果顯示，ECO所造成的衝擊為三個變數中反應最大者，短期間會造成ECO本身與MSCI全球指數的反應程度較油價為大。但從長期來看ECO對三者的反應影響與日俱增。

關鍵字

替代能源 ； 預測誤差變異數分解 ； VAR模型 ； VECM模型 ； 衝擊反應函數 ； 原油價格

並列摘要

Although oil plays an important role in modern society, it reveals several hidden issues such as high oil-price fluctuations, the scarcity characteristics and the global warming. Thus, the importance of alternative energy in the future cannot be neglected.
This study examines the relationship among oil price (OIL), alternative energy index (i.e. Wilderhill Clean Energy Index (ECO)) and the MSCI All Country World Index (MSCI). This investigation also divides the oil price period into three sub-periods，and compare the above relationships for different periods by using the time-series econometric methods such as the vector autoregressive (VAR) method, the vector error-correction model (VECM), Granger causality test (GCT), impulse response function (IRF) and variance decomposition (VD). This study attempts to examine the long-run equilibrium relationship among the above three variables. The conclusions are summarized below:
1.This study finds that the long-run equilibrium relationship only exits during the third period. Although the ECO and OIL have a significantly negative relationship, ECO and MSCI have a significantly positive relationship.
2.In respect of Granger causality test, this study finds that only MSCI affects ECO during the first period. However, all three parameters have significant mutual relationships during the third period.
3.This investigation also finds that the best way to predict the future trend of oil and ECO are the price and index of themselves. However, MSCI can be fully predicted by ECO and the index of itself. Regarding the impulse responsive function, the largest impact of three variables is ECO in the short run. From the long term perspective, the index of ECO would likely influence all the three parameters.

並列關鍵字

VAR ； WilderHill Clean Energy Index ； VECM ； Alternative Energy ； Oil Price ； Impulse Responsive Function ； Variance Decomposition

參考文獻

蔡信行 (2006)，「替代能源之回顧與展望 (上)」，中華民國石油季刊第42卷，頁33-48。

蔡信行 (2006)，「替代能源之回顧與展望 (下)」，中華民國石油季刊第42卷，頁51-69。

陳保元 (2008)，「原油價格與股價關係之探討-以台灣股市及大陸A股為 例」，暨南國際大學財務金融研究所。

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