原油價格變動對於太陽能產業指數的影響 -雙門檻GARCH模型之應用-

A Study on the Effect of International Oil Return on Index of Solar Energy Industry ─ An Application of DT-GARCH Model ─

蔡坤旻(Tsai,Kun-Min)

指導教授 ： 蕭榮烈

國立臺北大學/商學院/國際企業研究所/碩士(2009年)

摘要

基於經濟與環境的考量，人類開始尋找石油以外替代能源，太陽能就是其中一例。發電市場中，太陽能所擁有的限制較其他替代能源少，故備受國家、企業以及投資人的矚目，而本研究將站在投資人角度來進行探討。本研究利用全球前十二大的太陽能電池廠商股價以及在外流通股數製作太陽能產業指數，並利用基本統計檢定、MCMC與RJ-MCMC了解原油價格與太陽能產業關係與選取較精確表現原油價格變動對於太陽能產業行為表現的模型。
在本研究實證結果可以得到原油價格變動對於太陽能產業行為具有不對稱表現。即原油價格報酬在某一數值之下（狀態一）或之上（狀態二）所顯示出對太陽能指數報酬有不一樣的結果。於是得到太陽能指數報酬不論在何種狀態下所受到本身報酬與原油價格報酬之影響皆為正向，且狀態二給太陽能產業帶來的衝擊與波動持續性皆大於狀態一，也就是具有高風險高報酬的投資型態。

關鍵字

太陽能產業；石油；不對稱；DT-GARCH；RJ-MCMC

並列摘要

The solar energy has become one of the most important energy in recent years. In the electricity market, the solar energy possesses fewer limits than other energies, and this research takes the stand of the investor. This research uses index of solar energy industry which organize the market value of the top 12 solar cell manufacturer around the world, to analyze the effect of international oil return on index of solar energy industry.
Base on the empirical result of this study, the change in the oil price has shown asymmetric behavior. In another words, when the return of oil price is under or above a certain amount, the return of solar energy index shows different result. The return of solar energy index shows a positive relationship with the oil price regardless of the condition it is in. Condition two brings bigger impact and persistence of volatility compare to condition one to solar energy industry. Base on this result we conclude that solar energy investment show high risk comes with high return.

並列關鍵字

Solar Energy Industry；Oil； Asymmetric； DT-GARCH ； RJ-MCMC

參考文獻

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