本研究目的是探討油價與台灣產業股價指數之關聯性。選取1998年1月3日至2008年6月30 日之日資料,利用共整合與誤差修正模型,期能進一步了解哪些產業會受到油價波動之影響, 所研究的產業包括塑膠、鋼鐵、電子、航運產業。國際油價的問題在近期受到相當的矚目,在過去當油價下跌,大部分的人都會樂觀地將使用石油視為理所當然,然而2005 年國際油價持續波動的上漲走勢,導致了股市、匯市、黃金、物價與油價的系列連動效應,充分證實了石油對社會經濟的強大影響力。本研究將區分三個階段來進行研究,即為網路泡沫之前、網路泡沫以後至次級房貸之前與次級房貸之後,實證結果發現,網路泡沫之前,原油價格與台灣產業股價指數之間無明顯共整合之關係,在網路泡沫以後到次級房貸以前油價的變動與塑膠類股、電子類指數無明顯因果關係,而油價與其他鋼鐵、航運類股、上市加權指數為互為因果的關係。而次級房貸以後,油價的變動是塑膠股以及航運股的因,而電子股是油價變動的因,其他則為互為因果之關係。
The goal of this research is for the correlation between oil price and relevant stock index of Taiwan. In order to understand the influence of oil price fluctuation, selecting the daily material during January 3, 1998 to June 30, 2008 by cointegration and error correction model. The relevant industry is including plastic, iron and steel, electronic and shipping. The international oil price problems cause attention recently. In the past, when oil price decreased, many people used the petroleum optimistically and naturally. However, in 2005, the international oil price increased continually and caused the stock market, exchange market, the gold, the prices and the oil price gearing effect, it fully confirmed the petroleum influenced the social economy formidably. This research is separated the time period into three. One is before the burst of internet bubbles, the other is after the burst of internet bubbles but before subprime lending, another is after the subprime lending. The result shows there is no cointegration between oil price and relevant stock index before the burst of internet bubbles. And there is no obvious causal relationship among oil price, plastic and electric industry, but causal relationship exists in the oil price, shipping industry and stock. However, after the subprime lending, the variation of oil price causes the stock index changes in plastic and shipping industry, and stock index of electric industry causes the oil price fluctuation, others are causal relationship each other.