能源類股與國際油價連動之 跨國比較分析

A Cross-Country Analysis on the Linkages between Energy Stocks and Oil Prices

胡怡文(Yi-Wen Hu)

指導教授 ： 林師模

中原大學/商學院/國際貿易研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600785

摘要

本研究的目的是利用實證的方法，來進行能源類股與國際油價連動之跨國比較分析。本文採用了向量自我迴歸(VAR)、共整合檢定與向量誤差修正模型(VECM)，以及衝擊反應函數和預測誤差變異分解等方法，探討美國、歐洲及台灣三地面對油價衝擊時，能源相關類股在股市的反應。本研究係利用類股股價指數做為探討股市連動的依據，並經由變數間之衝擊反應了解各變數受到其它研究變數的外生衝擊時，所可能產生之反應情況。此外，也進一步探討歐美間能源供給類股股價指數遇上油價衝擊時，各變數間之互動情況。
本研究所採用的資料頻率為月，且各類股股價指數採月底最終值，樣本資料選擇自1999年01月至2005年12月。在台灣方面，由於各方面的產業生態與歐美相差甚遠，但台灣的股市變化卻深受歐美股票市場的影響，與歐美股市連動性相當密切，因此也一併探討台灣股市中的耗能產業在面對油價衝擊時，與各耗能類股股價指數的關聯。
研究結果顯示，油價衝擊對石油供給類股股價影響以歐洲地區最為明顯，且與石油供給類股股價指數間存有正向相關；在美國仍以石油供給類股股價影響最明顯，但其它變數受到油價的外生衝擊之影響相對歐洲石油供給類股股價的影響來的平穏。此外，在美國市場方面，雖仍以石油供給類股股價影響最明顯，但其油價對美國石油供給類股股價的影響會逐步遞增。而當進一步將歐美變數聯合分析發現，美國石油供給類股受到原油價格衝擊會有正向反應，且高於對歐洲石油供給類股股價指數的正向影響；至於在台灣部分，實證結果顯示，耗能產業中的運輸類股股價指數與化學類股股價指數受到油價的衝擊比較明顯且呈負向影響；電子類股股價指數直接受到油價衝擊時的反應並不明顯。綜而言之，台灣地區的類股股價指數直接受到原油衝擊的影響較小，類股股價指數間的相互影響會較原油衝擊對類股股價指數的影響來的顯著。

關鍵字

誤差修正模型 ； 能源類股股價 ； 油價衝擊 ； 衝擊反應函數

並列摘要

The purpose of this study is to examine the linkages between energy stock prices and crude oil prices. Comparisons are also made among different areas. We use vector autoregression (VAR), vector error correction model (VECM), impulse response, and variance decomposition to analyze the impact of energy stock prices in response to crude oil price shocks. Stock price indices data are used for the current study, and the data frequency is monthly. The data is collected at month-end and the sample period spans from January 1999 to December 2005.
Our results show that the impact to the European stock market is evident for oil company indices in dealing with oil price shocks. As for the US market, the impact to the oil company indices is evident as well, but the magnitude of the impact is relatively small in comparison with that of the European market. Furthermore, in the US market, aside from the evident impact observed, the magnitude of the effect of oil price shock will increase gradually when oil price shock sustains for a period of time. Further analysis on the interactions between US and European markets show that positive correlation exists among US oil company indices in dealing with oil price shocks, and which is also higher than that found in the European market. As for the Taiwan market, our results show that energy intensive industries’ (such as transportation and chemical) stock price indices are sensitive to oil price shocks. However, the response of the electronics sector’s stock index is not evident in dealing with oil price shocks. In sum, Taiwan’s stock indices are relatively irresponsive to oil price shocks as compared to the interactions exist among the indices.

並列關鍵字

energy stock price ； Oil price shock ； impulse response function ； vector error correction model

參考文獻

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