國際油價波動對台灣石化工業股價報酬之非線性影響

Nonlinear Effect of the International Oil Price Volatility on the Stock Return of Petrochemical Industry in Taiwan

巫亞璇(Ya-Hsuan Wu)

指導教授 ： 聶建中

共同指導教授 ： 樓禎祺(Chen-Chi Lou)

淡江大學/商管學院/財務金融學系碩士班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.00788

摘要

本研究以縱橫平滑移轉迴歸模型檢定國際油價的波動對台灣石化業之股價報酬是否存在平滑移轉效果，並進一步利用股價報酬受控制變數之影響進行評估與衡量，以供投資人做為未來擬定投資決策時的參考依據。
實證結果顯示，在塑膠產業方面，所有區間下，建議投資人選擇高速動比率、高負債比率的塑膠公司投資。在紡織產業方面，當油價變動小於-10.8177%、介於-10.4251%與-7.4394%之間、介於-1.9706%與1.0953%之間、或大於28.8158%時，建議投資人選擇高每股盈餘的紡織公司投資。當油價變動介於-10.8177%與-10.4251%之間時，建議投資人選擇低每股盈餘的紡織公司投資。當油價變動介於-7.4394%與-1.9706%之間、介於1.0953%與13.9760%之間、介於14.1467%與28.8158%之間時，建議投資人選擇高每股盈餘的紡織公司投資。當油價變動介於13.9760%與14.1467%之間時，建議投資人選擇低速動比率的紡織公司投資。在化學產業方面，當油價變動介於-9.3388%與-8.9491%之間時，建議投資人選擇低速動比率的化學公司投資。在橡膠產業方面，當油價變動小於28.8061%時，建議投資人選擇高每股盈餘的橡膠公司投資。當油價變動大於28.8061%時，建議投資人選擇低負債比率、高每股盈餘的橡膠公司投資。

關鍵字

股價報酬 ； 油價變動率 ； 速動比率 ； 負債比率 ； 每股盈餘 ； 緃橫平滑移轉模型

並列摘要

This study uses panel smooth transition regression model to investigate whether international oil price volatility to stock return of Taiwan's petrochemical industry exists panel smooth transition effect. Furthermore, this study measures and evaluates stock return by the influence of independent variables.
The empirical results show that in plastic sector, investors are suggested to choose stocks with high quick ratio and high debit ratio on their company operating in every region. In textile sector, when oil price change rate is less than -10.8177%, between-10.4251% and -7.4394%, between -1.9706% and 1.0953%, and greater than 28.8158%, investors are suggested to choose stocks with high EPS on their company operating. When oil price change rate is between -10.8177% and -10.4251%, investors are suggested to choose stocks with low EPS on their company operating. When oil price change rate is between -7.4394% and -1.9706%, between 1.0953% and 13.9760%, between 14.1467% and 28.8158%, investors are suggested to choose stocks with high EPS on their company operating. When oil price change rate is between 13.9760% and 14.1467%, investors are suggested to choose stocks with low quick ratio on their company operating. In chemical sector, when oil price change rate is between -9.3388% and -8.9491%, investors are suggested to choose stocks with low quick ratio on their company operating. In rubber sector, when oil price change rate is less than 28.8061%, investors are suggested to choose stocks with high EPS on their company operating. When oil price change rate is greater than 28.8061%, investors are suggested to choose stocks with low debit ratio and high EPS on their company operating.

並列關鍵字

Stock Return ； Oil Price Change Rate ； Quick Ratio ； Debt Ratio ； Earnings per Share ； Panel Smooth Transition Regression

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