石油價格與「金」、「銀」、「藍」、「綠」基金之相關性分析

An Analysis of the Relationship Between International Oil Price and Mutual Fund of “Gold, Silver, Blue, Green”

費文尚(Wen-Shang Fei)

指導教授 ： 趙慕芬

淡江大學/管理學院/企業管理學系碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00598

摘要

隨著原油價格不斷飆漲，造成物價持續上揚，於是想藉由之前商業周刊所提出之四項主題式基金：「金、銀、藍、綠」來做與石油的相關性分析，來判斷石油價格與四項主題式基金是否存在關聯，金代表黃金（礦業);銀代表人口趨勢(老人安養與相關產業)，藍代表水資源（海洋)，綠代表替代性能源（再生能源），來做相關性分析，研究時間從2000年12月，至2008年3月，樣本研究期間為月資料，四種類型基金共擷取了17檔基金，每檔基金各取了８８表資料，所以總樣本數為1496筆；石油價格則採用經濟部能源局所提出之杜拜原油價格來做相關性分析。

　　本研究使用先使用單根檢定，來檢驗所有資料是否呈現定態；接著選取最適落後期數來進行向量自我迴歸（VAR），來了解各變數之間是否存在因果關係，再利用變異數分解來瞭解各變數間的解釋能力

　　後來經由向量自我迴歸得知，“金”類型的基金較不易受到其他類型的基金所影響，但它會影響綠基金；“銀”類型的基金會受到之前綠基金的影響，且它會影響藍、綠基金及石油價格；“藍”類型的基金會受到銀基金、石油價格的影響，且藍基金會影響綠基金，“綠”類型的基金會受到全部變數的影響，而它會影響銀基金及石油價格；“石油價格”會受到銀、綠基金的影響；而石油價格會影響藍、綠基金。由共整合檢定得知金、銀、藍、綠與石油價格之間存在長期均衡關係，但短期間卻不一定具有均衡關係。由變異數分解可知“金”基金的外生性為77%，“銀”基金的外生性為71%，“藍”基金的外生性為51%，“綠”基金的外生性為47%，“石油價格”的外生性為84%。

關鍵字

金銀藍綠 ； 石油價格 ； 向量自我迴歸 ； 共整合檢定 ； 變異數分解

並列摘要

With the price of international crude oil rises highly, causing the prices of commodities continued to rise, as a result, we want to make a relationship analyze between international crude oil price and Mutual Fund of “Gold, Silver, Blue, Green”. To determine the oil price and the four theme mutual funds have any relationship. “Gold”on behalf of gold( mining ), “Silver”on behalf of trends of demographic ( elderly healthcare and related industries),“Blue”on behalf of water( ocean ),“Green”on behalf of alternative energy( renewable energy ).the research period from December 2000 to March 2008 includes monthly data, the four types of mutual fund Retrieve the file 17 funds, each of the 88 funds table information, so the total are 1496 samples; oil prices of the energy used by the Ministry of Economic Affairs put the Dubai crude oil prices do correlation analysis.

The first step we use unit test, to test whether all the information showed stable; then we select the vector autoregression (VAR), to understand whether the variables existence any relationship, and use variance decomposition to understand the variables in the ability of explain.

Later, through the vector autoregression that we realize "Gold" are not susceptible to other types of funds, but it will affect the Green; "Silver" will get impact of the Green, and it will affect blue, green and the oil price ; "Blue" will get impact of silver and oil prices, and the blue will impact green, "Green" will get all of variables impact, and it will affect silver and oil price, "Oil prices" will get impact of silver and green, the oil prices will affect the blue and green funds. Total integration of gold, silver, blue, green and oil prices between the long-run will be equilibrium, and short-run will not balance. By the variance decomposition knows that "Gold" exgeneity is 77%, "Silver" exgeneity is 71%, and "Blue" exgeneity is 51%, "Green" exgeneity is 47% , " Oil prices exgeneity is 8%.

並列關鍵字

Gold、Silver、Blue、Green ； Oil price ； vector autoregression ； cointegration test ； variance decomposition

參考文獻

〔17〕 陳俞臻(2005)，風險調整後共同基金績效評估

〔18〕 陳佳汎(2006)，「台灣股票型共同基金績效之評估」，臺灣大學國際企業學研究所碩士論文

〔20〕 陳相宇(2004)，「國內上市型開放式股票型基金績效持續性實證研究」，臺灣大學財務金融學研究所碩士論文

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