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  • 學位論文

碳權價、油價與歐洲股價關聯性之研究

The Study of Relationship among Carbon Price, Oil Price and European Stock Price

指導教授 : 胡為善

摘要


過去幾十年迄今,對全球而言,無論在交通運輸、民生用品及經濟生產活動,石油已成為生活中最重要的商品之一。然而,石油並非取之不盡用之不竭。人類除了要面臨石油耗竭外,更需承擔因從事上述生產活動所排放出的溫室氣體,而造成的環境破壞及氣候異常等現象。本研究主要探討油價與碳權價之變化對歐洲國家經濟之影響。以Granger因果檢定、向量自我迴歸模型(VAR)及向量誤差修正(VECM)模型進行實證分析,探討三者間是否具有因果關係及長期均衡關係。並將研究期間分為三小段,第一小段期間自2005年3月9日至2007年12月31日;第二小段期間自2008年1月1日至2010年12月31日;第三小段期間自2011年1月1日至2012年12月31日,以比較不同期間碳權價與油價分別與各國股價之互動關係。本研究實證結果歸納如下: 1.在全樣本期間、第一小段期間及第三小段期間,油價、碳權價與歐洲股價指數皆無共整合之情形;而在第二小段期間中,油價、碳權價分別與德國、義大利股價指數存在長期穩定之均衡關係。 2.本研究透過因果檢定發現,在第一小段期間碳權價與油價及歐洲股價不具因果關係;在第二小段期間碳權價與油價為雙向因果關係;碳權價與歐洲股價皆不具因果關係,其原因可能是受到美國金融風暴波及;在第三小段期間碳權價皆領先於油價;歐洲股價皆領先於油價及碳權價,顯示出在歐債危機期間,歐洲股市之變化相當敏感。 3.本研究在預測誤差變異數分解發現,油價及碳權價最具解釋能力者為自己本身,英國及義大利股價對碳權價及油價具有部分解釋能力。 4.由衝擊反應函數發現,油價及碳權價受自身衝擊最明顯。平均而言,歐洲股價在油價及碳權價的衝擊下,4天內呈現較大的波動。但在油價及碳權價的衝擊之8天後,歐洲股價的波動性就完全收斂,顯示市場具有效率性。

並列摘要


From the past decades till now, oil becomes one of the most important commodities around the world no matter in transportation, consumer goods and economic activity. However, oil is not inexhaustible forever. Human beings not only have to face the problem of oil depletion, but also need to take responsibility for participating in productive activities caused emissions of greenhouse gas (GHG) which resulted in the environmental damage and abnormal weather problem. This study employs the Granger causality test, vector autoregression (VAR) test and vector error-correction model (VECM) to examine the long-term equilibrium relationship among carbon, oil and European stock prices. This investigation also divides the entire sample period into three sub-periods: the first sub-period runs from 2005 to 2007. The second sub-period (U.S. subprime loan crisis period) starts from 2008 to 2010. The third sub-period (European debt crisis period) runs from 2011 to 2012. The empirical results are summarized below: 1.This investigation finds that the long-term equilibrium relationship does not exist for the entire sample period, the first sub-period and the third sub-period. However, this investigation finds that carbon price, oil price, DAX Index and ITA Index have a long-term equilibrium relationship during the second sub-period. 2.This study uses the Granger Causality test and finds that carbon and oil prices have significantly mutual relationship, but carbon price and European stock price do not have significant relationship during the the second sub-period. Empirical results also show that European stock price affects carbon price and oil price during the third sub-period, suggesting that European stock price were very sensitive during this sub-period. 3.Empirical results obtained from forecast error variance decomposition show that the most explanatory power for oil and carbon prices arising from themselves. However, both U.K. and Italian stock prices also have significant impacts on oil and carbon prices. 4.Empirical findings obtained from impulse response function indicates that oil and carbon prices are most affected by themselves. On average, the European stock prices experienced huge volatility within 4 days after the shock caused by the dramatic change in oil and carbon prices. However, the volatility of European stock prices converge completely after 8 days being shocked by oil and carbon prices, suggesting that the market is efficient.

參考文獻


浦漢祥,2011,「探討影響碳權價格的市場因素」,國立成功大學企業管理學系研究所碩士論文。
關偉倫,2008,「各國股市對原油衝擊之反應」,國立清華大學經濟學系研究所碩士論文。
宋建緯,2010,「碳價波動影響因素之探討─以歐洲能源交易所碳交易為例」,國立政治大學財政研究所碩士論文。
Alberola, E., Chevallier, J., & Chèze, B. T. (2008). "Price Drivers and Structural Breaks in European Carbon Prices 2005–2007". Energy Policy, 36(2), 787-797.
Arouri, M. E. H. (2011). "Does Crude Oil Move Stock Markets in Europe? A Sector Investigation. " Economic Modelling, 28(4), 1716-1725.

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黃冠甄(2016)。VIX指數、美元指數及石油期貨價格對黃豆期貨價格及對咖啡期貨價格之影響〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu201600624

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