本研究以時間序列方法探討2008年金融海嘯爆發前後一年、金融海嘯爆發前一年、金融海嘯爆發後一年,國際原油價格報酬率(台幣)與台灣太陽能電池股價報酬率之關聯,本文對此發現也做相關陳述,希望未來對投資者有所幫助。 研究結果建構了國際原油價格報酬率與台灣太陽能電池股價報酬率的向量自我回歸模型,進行因果檢定及衝擊反應分析。從VAR 模型發現在金融海嘯爆發前後一年、金融海嘯爆發前一年國際原油價格報酬率(台幣)對台灣太陽能電池類股報酬率有顯著的影響。但是在金融海嘯爆發後一年,原油價格報酬率已經不再對股價報酬率有顯著的影響。 Granger因果檢定方面,在金融海嘯爆發前後一年、金融海嘯爆發前一年國際原油價格報酬率與台灣太陽能電池類股報酬率具有「領先-落後」的關係,原油價格報酬率的變動會顯著影響益通股價報酬率、 茂迪股價報酬率的變動,台灣太陽能電池類股報酬率則無法對原油價格報酬率造成變化,油價的外生性相當強,不受研究中其他變數影響。但是金融海嘯爆發後一年益通報酬率與茂迪報酬率對原油價格報酬率不具有領先落後的關係。
This research content is using time series methods to discuss the connection between oil price (new Taiwan dollar) and Taiwan solar cell stock further observes the interaction during 2008 year before and One year after the outbreak of the financial tsunami、before One year the outbreak of the financial tsunami、One year after the outbreak of the financial tsunami. This article has found that the statements also do hope that future investors help. The outcomes have constructed the vector autoregression model of oil price (new Taiwan dollar) and solar cell stock during 2008 year before and One year after the outbreak of the financial tsunami、before One year the outbreak of the financial tsunami. Using the model to makes Granger causality test and impulse response analysis. Find that the oil price (new Taiwan dollar) has obvious effect to the solar cell stock. But during one year after the outbreak of the financial tsunami the oil price (new Taiwan dollar) has not obvious effect to the solar cell stock. On the aspect of Granger causality, Discovered the oil price (new Taiwan dollar) has the “lead-lag” solar cell stock before and One year after the outbreak of the financial tsunami、before One year the outbreak of the financial tsunami. And all of the Taiwan solar cell stock variable can not effect to oil price (new Taiwan dollar). In addition, solar cell stock Were not caused by changes in oil prices, Exogenous oil prices could see very strong, not subject to study effects of other variables. But during one year after the outbreak of the financial tsunami Discovered the oil price (new Taiwan dollar) has not the “lead-lag” solar cell stock.
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