股市與原油現貨及期貨價格間關聯性分析

The Linkages among Oil Spot, Oil Future, and Stock Markets

黃敏華(Min-Hua Huang)

指導教授 ： 林師模

中原大學/商學院/國際貿易研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600686

摘要

有鑒於全球對能源需求殷切，其中又以形成耗時但用途廣泛、幾乎影響各產業生產活動的石油最為國際所重視，油價的波動將對一國經濟造成顯著的影響，而其中最直接的影響反應即在財務市場中的股票市場。另外，期貨市場如為效率市場，則其所含的價格發現功能，將可以使期貨價格成為現貨市場價格的重要指標。因此，能源價格與股票市場、期貨市場之關聯性非常值得深入研究。

為有效分析股市與原油現貨、期貨價格間之關聯性，本研究以國際現貨及期貨油價、各國股價指數、股價指數期貨為對象，將股市依照不同地區分類，分為三個模式進行實證分析，以比較不同國家或不同類別之股價指數受到原油現貨、期貨價格衝擊之反應情形。本研究以1999年7月21日至2006年6月26日之日資料，利用單根檢定、共整合檢定、向量自我迴歸模型(VAR)、誤差修正模型(VECM)等方法進行研究，以得到原油與股市各變數間之長、短期互動關係。本研究實證結果歸納如下：
1. 根據單根檢定結果，原油現貨、原油期貨、各國股價指數、股價指數期貨各變數之原始數列均非定態的數列，但各變數經過一階差分後，都成為一定態的數列。由共整合檢定結果顯示，原油現貨、原油期貨、各國股價指數間，或原油現貨、原油期貨、各國股價指數、股價指數期貨間均存在長期的均衡關係。
2. 誤差修正模型分析顯示，原油現貨偏離長期均衡時，其調整係數多為負數且顯著，表示原油現貨短期均被高估，故會以特定速度向下調整到下一期。影響股價指數變動的原因，除了股價指數偏離長期均衡時之調整外，還包括股價指數本身落後期的變動以及其他各變數落後期的變動之影響。惟原油現貨、期貨對道瓊工業指數或道瓊工業指數期貨之影響均不明顯；原油期貨對台灣加權股價指數或台灣加權股價指數期貨之影響均不顯著；但就台灣分類股價指數而言，塑化類股、運輸類股股價指數僅受前期原油期貨變動之影響，電子類股、金融保險類股、機電類股、造紙類股與鋼鐵類股則均同時受到前期原油現貨、原油期貨變動之影響。
3. 由預測誤差變異分解得知，在僅考慮股價指數與原油現貨、期貨之模型中，美國、日本與我國之資料均顯示，無論原油現貨或原油期貨發生自發性干擾，解釋原油價格變動的最重要因素均為原油現貨，而股價指數由本身自發性干擾所解釋的比重相當大，高達98%以上。模型中加入股價指數期貨後，無論原油現貨或原油期貨發生自發性干擾，美國與我國解釋原油價格變動的最重要因素仍均為原油現貨，但在日本，解釋原油價格變動的最重要因素則均為原油期貨；在股價指數方面，美國、日本與我國之股價指數由本身自發性干擾所解釋的比重均驟降，股價指數期貨反而成為解釋股價指數的重要因素，約高達90%以上；而股價指數期貨由本身自發性干擾所解釋的比重均相當大，高達96%以上。
4. 觀察各變數間之衝擊反應發現，當原油期貨發生自發性干擾時，原油現貨受到原油期貨衝擊之影響反而最大；當股價指數發生自發性干擾時若考慮股價指數期貨，則股價指數期貨受到股價指數衝擊之影響反而最大。
綜合上述分析，無論在股票市場或原油市場，期貨市場之表現均領先現貨市場，此研究結論也支持期貨市場的價格發現功能。

關鍵字

向量自我迴避 ； 共整合檢定 ； 期貨市場 ； 原油期貨 ； 股票市場 ； 誤差修正模型

並列摘要

This study aims at finding out the linkages among oil spot, oil future, and stock markets. By using international oil spot, oil future, and market indices in different countries, and categorizing them into 3 separate models, the effects of price shocks originating from oil spot and oil futures markets on stock indices in different countries are examined. We use unite root test, cointegration test, VAR and VEC models to figure out the long- and short-term relationships among the variables of interest. The data are collected from July 21, 1999 to June 26, 2006. Our empirical results indicate that
1. According to unit root test, after first differences, the original variable series all became stationary ones. And the results of cointegration test show that there is a long-term equilibrium relationship among oil spot, oil future, and market indices in each country. Also, the long-term equilibrium relationship exists among oil spot, oil future, market indices, and market index futures in each country.
2. VEC model results indicate that short-term oil spot is overvalued and adjust to next session with a particular speed when oil spot is far away from long-term equilibrium.
3. According to the variance decomposition of forecast errors, in the model of market index and oil spot and futures, the most important factor is oil spot no matter there is a spontaneous interference of oil spot or oil futures. Up to 98% of market index can be explained by its spontaneous interference. In USA and Taiwan, no matter spontaneous interference exists in oil spot or oil futures, the most important factor is still the oil spot. However, in Japan, the essential factor is oil futures instead.
4. After observing the impact reactions among each variable when the spontaneous interference happens in oil futures, oil spot is influenced the most by oil future. Considering the market index futures while the spontaneous interference happens in market index, the impact of market index futures is affected most by the market index.

並列關鍵字

vector autoregression ； cointegration test ； futures market ； oil future ； stock market ； vector error correction model

參考文獻

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