原油價格與亞洲主要股市之關聯性研究

The Studying of Relationship between Petroleum Price and Main Stock Market of Asia

林繼遠(Gene Lin)

指導教授 ： 池祥麟

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2010年)

摘要

石油在人類生活與經濟活動中向來扮演極重要的角色，其價格波動影響製造產業的生產成本，並導致所有產業的成本發生變化，對於經濟景氣的榮枯有重大的影響力。近年來因為石油儲存量的日益減少，且新興國家的崛起，使石油的需求也大幅的成長，2008年終於突破每桶140美元大關，也導致全球物價不斷攀升，增加了經濟的不穩定。本篇研究直接探討油價對於股價指數的影響，並以亞洲主要股市為例，試圖分析在世界經濟佔有舉足輕重角色的亞洲主要國家的股票市場對油價的反應是否有所不同。藉此分析結果，期盼可以提供投資人一個股市投資的參考，另也可以作為政府相關單位於油價變動期間，財經政策影響性評估的一個參考。
研究資料包括杜拜原油價格、台灣加權股價指數，日經股價指數，韓國綜合股價指數以及上海A股股價指數。研究期間為自2004年1月1日至2009年12月31日止的日資料。本研究採用多項時間序列方法來檢驗原油價格與亞洲主要股票市場之間的互動關係。
研究結果發現，在相關係數分析中，原油價格對於亞洲主要股市都有正向關係。在單根檢定中，原油價格對於亞洲主要股票市場的股價指數均呈現隨機漫步的走勢；但經過一階差分後，則成為恆定狀態。在共整合檢定中，除了日本股票指數與原油價格間之共整合關係並不顯著外，其餘股票市場與原油價格間都具有共整合關係，長期來說，存在一個均衡的關係。在誤差修正模型中，台灣的加權股價指數與上海A股指數，均受前一期及前二期本身股價指數與原油價格影響不顯著；而韓國綜合股價指數則同受前二期原油價格影響較為顯著。在Granger Causality因果關係檢定發現，原油價格報酬率與台灣加權股價指數報酬率存在著互為雙向回饋的關係；在日本股市、韓國股市或中國上海A股指數報酬率方面，原油價格報酬率均領先日經股價指數報酬率、韓國綜合股價指數報酬率與上海A股指數報酬率。

關鍵字

油價、股價指數、單根檢定、共整合檢定、誤差修正模型、Granger Causality因果關係檢定

並列摘要

Petroleum plays a great extremely important role in human life and the economic activities. The fluctuating price of oil affects the production cost to the manufacturing and therefore changes the cost to all industries. It influences a lot to the prosperous economic environment. Because the quantity of petroleum stores reducted day by day in recent years, and emergence of emerging nations made demand growth of petroleum, every barrel broke high point of 140 dollars in 2008,and it caused the global price to soar constantly too and has increased economic unstability. This paper directly argues how oil price affects the stock indexes, and takes a look into the main stock markets in Asia. From the conclusion of this paper, I hope to give the investors a reference to invest their money and also for government to evaluate the influences of the change of oil price for making the financial policies.
The data used in the analysis include information on the share indexes of Taiwan (TWII) and Japan (NIKKEI) and Korea (KOSPI) and China (SSECI) and the Duba spot price of crude oil. I examine for the period from the first day of 2004 through the end of 2009. This paper adopts some of the empirical methods for time series to examine the cross relationship between the main share market indexes in Asia and the crude oil price.
The study shows that the crude oil price is having the main share market of Asia to the relation in the coefficient correlation analysed. In unit root test, all the variables appear to be stationary after the first difference. In cointegration test, crude oil price and the stock indexes except Nikkei are cointegrated. In the error correction model test, there is no notable difference between the change of oil price and the TWII and the SSECI. But the stock indexes of Korea are affected by the crude oil price through second difference apparently. The Granger causality test shows that it exists feedback relationship between Taiwan share index and the crude oil. But the crude oil price leads the NIKKEI, the KOSPI and the SSECI for the price increasing period as well.

並列關鍵字

Oil Price, Stock Index, Unit Root Test, Cointegration,Error Correction Model, Granger Causality Test

參考文獻

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