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系統識別號 U0002-0507200712343400
中文論文名稱 臺灣石化產業上中下游股價指數之關聯性
英文論文名稱 The Interrelationships among the Stock Indexes of the Upper, Middle and Lower Stream of the Petrochemical Industry in Taiwan
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 陳飛宏
研究生英文姓名 Fei-Hung Chen
學號 793490250
學位類別 碩士
語文別 中文
口試日期 2007-06-21
論文頁數 52頁
口試委員 指導教授-聶建中
共同指導教授-莊孟翰
委員-張倉耀
委員-陳達新
委員-涂登才
中文關鍵字 臺灣石化業股價指數  單根檢定  共整合檢定  因果關係  衝擊反應  非線性分析 
英文關鍵字 the stock indexes of petrochemical industry in Taiwan  Unit-root test  Cointegration test  Granger causality  Impulse response  Nonlinear test 
學科別分類
中文摘要 本文主要探討臺灣石化產業上中下游股價加權股價指數之間的關聯性。選取民國93年1月2日至95年12月29日期間,參考臺灣證券交易所發行量加權股價指數編製之方式,編製臺灣石化產業上中下游各發行量加權股價指數,再探討彼此間之關聯性。研究方法利用傳統單根檢定及Bierens(1997)、Breitung(2002)非線性單根檢定,測試變數是否為穩定序列;再以Johansen(1988,1990,1992,1994)最大概似估計法及Bierens (1997)、Breitung(2002) 非線性無母數共整檢定法,檢定變數間是否存在長期均衡關係;運用線性及非線性因果關係檢定方法探討變數間領先落後關係;亦以一般化及非線性衝擊反應函數,檢定變數間短期互動關係。實證結果發現:各變數在差分後呈現定態;變數間不存在長期均衡關係;由非線性因果關係檢定,上游指數與中游指數間及中游指數與下游指數間,不存在領先落後的因果關係,而下游指數對上游指數有領先關係;由非線性衝擊反應,上游指數對中游指數及上游指數對下游指數在短期內均有明顯正向衝擊反應,而中游指數對下游指數亦然。
英文摘要 This study explores the relationship between the upper stream stock index,the middle stream stock index, and the lower stream stock index of the petro-chemical industry in Taiwan. Specifically, the relationship between these indexes respectively from Jan. 2nd, 2004 to Dec. 29th, 2006 will be examined.
Firstly, this study measures the stationarity of variables with traditional unit-root test method and nonlinear unit-root test by Bierens(1997) and Breitung(2002). Secondly, we examine the long-run equilibrium among variables via
Maximum Likelihood Estimation by Johansen(1988,1990,1992,1994) and nonlinear
Nonparametric cointegration test by Breitung(2002). The lead/lag relationship among variables is investigated by linear and nonlinear Granger Causality Test as well. By exerting traditional and nonlinear impulse response function, this study examines short-run interactive relationship among variables,too.The empirical results are as follow :(1) After 1st difference,these variables become stable. (2)There is no long-run equilibrium relationship among variables. (3) There is no lead/lag relationship between the upper stream stock index versus the middle stream stock index and the middle stream stock index vs.the lower stream stock index in Granger Causality Test. The lead/lag relationship only exists between the lower stream stock index and the upper one.(4)The impulse response function exists between the upper stream stock index versus the middle one ,the upper one vs. the lower one and the middle one vs. the lower one.
論文目次 第壹章 緒論
第一節 研究動機...............................................1
第二節 研究目的...............................................3
第三節 研究架構...............................................4
第貳章 文獻探討
第一節 相關議題文獻...........................................7
第二節 相關研究方法文獻.......................................8
第參章 研究方法
第一節 單根檢定...............................................10
第二節 共整合檢定.............................................17
第三節 因果關係檢定...........................................23
第四節 衝擊反應分析...........................................25
第肆章 實證結果與分析
第一節 資料來源與處理方法.....................................31
第二節 原始資料概述...........................................32
第三節 實證結果分析...........................................34
第伍章 結論與建議
第一節 結論...................................................46
第二節 建議...................................................47
參考文獻
國內文獻......................................................48
國外文獻......................................................49

表目錄
表4-1 樣本資料來源..................................................................................................31
表4-2 變數敘述性統計資料......................................................................................32
表4-3 線性單根檢定結果表 Based on SBC(NP,2001)............................................34
表4-4 非線性無母數單根檢定結果..........................................................................35
表4-5 上游指數與中游指數的Johansen共整合檢定結果表..................................36
表4-6 上游指數與下游指數的Johansen共整合檢定結果表..................................36
表4-7 中游指數與下游指數的Johansen共整合檢定結果表..................................37
表4-8 UINDEX與MINDEX的Breitung無母數共整合檢定結果表.......................37
表4-9 MINDEX與DINDEX的Breitung無母數共整合檢定結果表.......................38
表4-10 UINDEX與DINDEX的Breitung無母數共整合檢定結果表......................38
表4-11 變數間的線性因果關係表............................................................................39
表4-12 變數間的非線性因果關係表........................................................................39
表4-13 各變數的非線性雙向回饋因果關係表........................................................39
表4-14 各變數間一般化衝擊反應結果表................................................................42
表4-15 各變數間非結構化衝擊反應結果表............................................................45
表4-16 各變數間一般化與非結構化衝擊反應結果比較表....................................45


圖目錄
圖 1-1 石油形成圖.....................................................................................................1
圖 1-2 國際原油季平均價格圖.................................................................................2
圖 1-3 石化產品流程圖.............................................................................................3
圖 1-4 實證分析流程圖.............................................................................................5
圖 1-5 研究架構圖.....................................................................................................6
圖4-1 臺灣石化產業上游股價指數........................................................................32
圖4-2 臺灣石化產業中游股價指數........................................................................32
圖4-3 臺灣石化產業下游股價指數........................................................................32
圖4-4 臺灣石化產業上、中、下游股價指數.........................................................32
圖4-5 上游指數與中游指數間之一般化衝擊反應圖............................................40
圖4-6 上游指數與下游指數之一般化衝擊反應圖................................................41
圖4-7 中游指數與下游指數之一般化衝擊反應圖................................................42
圖4-8 中游指數對上游指數非結構化衝擊反應圖................................................43
圖4-9 上游指數對中游指數非結構化衝擊反應圖................................................43
圖4-10 下游指數對中游指數非結構化衝擊反應圖................................................43
圖4-11 中游指數對下游指數非結構化衝擊反應圖................................................44
圖4-12 下游指數對上游指數非結構化衝擊反應圖................................................44
圖4-13 上游指數對下游指數非結構化衝擊反應圖................................................44

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李淑貞(2007),台灣股票型基金規模與股市的非線性關係探討,淡江大學財務金融學研究所碩士論文
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