本研究主要探討油價對台灣股市之長短期影響,除了瞭解油價對股價的影響外,更於模型中加入了部分的總體經濟因素和黃金等相關變數作分析。研究期間為2006年至2011年,所採用的研究方法有相關係數分析、單根檢定和Component GARCH迴歸。透過模型檢定,本研究實證結果,相關係數方面:比較金融海嘯前與後,在金融海嘯發生前各變數間相關程度普遍較高,而於金融海嘯發生後各變數之間相關程度明顯下降。在單根檢定方面:所有變數在原始狀態皆呈現隨機變動的非定態時間序列資料,經過一階差分後,都呈現為定態時間序列資料。長短期效果方面:在金融海嘯發生後,不論長期或短期波動效果,其係數都變小,其中短期波動效果明顯變小顯示市場接受衝擊後,波動性的反應效果能迅速反應市場所釋放的衝擊,且具有較低的持續影響力。
The primary purpose of this paper is to investigate the long-run and short-run influences of oil prices on Taiwan stock market, in addition to comprehend the impact of oil prices on the stock market, we also add some economic factors to analysis. The sample used for analysis is daily data from January 2006 to December 2011. We use Component GARCH to examine the relationship among oil prices, stock prices and other variables. The empirical results showed that before financial crisis, the degree of correlation between the variables generally higher, but after the financial crisis, the degree of correlation between the variables decreased significantly. In the unit root test, after the first difference, all variables are presented in steady state as time series data. In long-run and short-run influences, the coefficient of volatility is decreased in the long-run and short-run influences after the financial crisis. As for short-run influences, it showed that volatility effect will react to the impact of market released quickly and has continuously influence on it.