原油價格及其波動與台灣股價指數長期關係之探討

The Discussions of Long Term Relationship among Oil Price, Its Volatility and Taiwan Stock Index

張倉耀(Tsang-Yao Chang)

《會計與財金研究》 6卷2期 (2013/09) Pp. 47-64

https://doi.org/10.6735/JAFD.201309_6(2).0003

摘要

本文使用月資料，應用邊際共整合模型檢視原油價格及其波動與台灣股價指數是否存在長期關係。由於原油波動為不可觀察的變數，本文首先應用GARCH模型估計原油價格波動，然後，將估計的原油價格波動加入模型中，進一步檢視原油價格及其波動與股價指數的長期關係。實證結果發現，原油價格及其波動與台灣股價指數不存在顯著的長期關係。不同產業對原油價格波動的反應並不相同，股價指數為一綜合指標，可能抵銷原油價格波動的產業效果，導致不顯著的結果。

關鍵字

原油價格 ； 原油價格波動 ； 股票報酬 ； 邊界檢定法

並列摘要

This present study uses monthly data, applies bounds testing approach of Pesaran, Shin and Smith (2010) to investigate the long-term relationship among oil price, its volatility, and Taiwan stock index. As oil price volatility is an unobserved variable, this study first uses GARCH model to estimate the oil price volatility, and then applies bound testing approach to investigate the long-term relationship among oil price, its volatility, and stock index. The empirical result shows no significant long-term relationship among oil price, its volatility and Taiwan stock index. Stock index is a weighted index, it may offsets the industrial effect of oil price and its volatility and leads to insignificant result.

並列關鍵字

Oil price ； Oil price volatility ； Stock return ； Bound testing approach

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