能源對於經濟活動過程扮演著重要的角色。高油價不僅對全球經濟造成重大影響，甚至造成全球的糧食問題、金融市場問題，有關石油相關產業動態受到各方矚目，其獲利因素更是大家所關注。
本研究以1991年5月至2008年2月於美國紐約證券交易所上市之油氣公司為研究對象，以Sharpe所提出之資本資產訂價模型為基礎及縱橫資料模型分析法進行實證研究，探討原油期貨價格、天然氣期貨價格、利差、市場因子、本益比及市值與油氣公司股價之相關性。實證結果發現：油氣價格變動、市場超額報酬、利差變動、市值變動及本益比變動對油氣公司之股價報酬皆有顯著之影響。其中，油價因子、氣價因子、市值變動及本益比變動因子對股價報酬有顯著之正向關係。而利差變動因子則對股價報酬有顯著負向關係。而縱橫資料模型中之固定效果與隨機效果中則以隨機效果模型為最適。

The energy is playing an important role to the economic activity course. The high oil price not merely causes great influence on global economy, but also on the global issues of food crisis and financial market turbulence.  The petroleum relevant industry's trends are then attracted much attention by public.  The profit-making factor in petroleum industry is paid close attention by everybody even more.

This paper tried to investigate the relationship of stock price and its relevant variables for oil and gas companies.  Those monthly data （1991/05~2008/05）of oil futures price, gas futures price, interest rate spread, market excess return and market value issued by New York Stock Exchange are collected.  The price to earning ratio (p/e ratio) and the factor used by Capital Asset Pricing Model（CAPM）from Sharpe is considered also. This paper uses panel data model to implement our analysis.

   　It is found that the change of the price of oil gas, market excess return, market value and the change of p/e ratio all have apparent influence on the stock price remuneration for the oil gas company.  Oil return, gas return, market excess return, change of the market value, and the change of the p/e ratio also have significantly positive impacts on the oil and gas stock excess returns, while, interest rate factor has significantly negative impact oil and gas stock excess returns. Furthermore, we found the random effect model is more suitable in the panel data model.

第一章、緒論1
第一節、前言1
第二節、研究動機與目的1
第三節、研究內容2
第四節、研究流程3
第二章、文獻回顧5
第一節、縱橫資料模型應用5
第二節、油氣公司相關文獻探討8
第三節、小結11
第三章、研究方法13
第一節、CAPM模型概述13
第二節、變數單根檢定14
第三節、普通最小平方法17
第四節、縱橫資料模型固定效果18
第五節、縱橫資料模型隨機效果20
第六節、動態縱橫資料模型概述22
第四章、資料與實證分析26
第一節、樣本資料統計分析26
第二節、變數單根檢定35
第三節、一般迴歸分析36
第四節、縱橫資料模型實證結果分析41
第五章、結論與建議	51
第一節、結論51
第二節、後續研究53
參考文獻	54
附錄一：紐約證券交易所油氣公司一覽表	59
附錄二：美國以外大型油氣公司一般迴歸分析61
表目錄
【表4-1】變數統計量表30
【表4-2】變數單根檢定35
【表4-3】相關矩陣表36
【表4-4】一般迴歸模型實證結果(%)38
【表4-5】一般迴歸模型實證結果比較表40
【表4-6】縱橫資料模型最適模型檢定42
【表4-7】變數比較結果43
【表4-8】模式一：最適模型檢定44
【表4-9】模式二：最適模型檢定46
【表4-10】模式三:最適模型檢定48
【表4-11】模式四:最適模型檢定49
【表4-12】動態縱橫資料分析實證結果50
圖目錄
【圖1-1】研究流程圖4
【圖4-1】原油期貨價格走勢圖	31
【圖4-2】天然氣期貨價格走勢圖32
【圖4-3】紐約證券綜合指數走勢圖33
【圖4-4】三年期及三個月期利率走勢圖34
【圖4-5】三年期及三個月期之利差走勢圖34

林慶龍，「授權外溢與生產力－台灣上市資訊電子廠商之實證研究」，國立中央大學產業經濟學系所碩士論文，民國93年。
洪名慶，「東西方轉型國家外人直接投資流入因素之分析比較」，國立成功大學政治經濟學系所碩士論文，民國93年。
洪啟堯，「國際油價與股市對整合型石油公司之影響－以美國為例」，國立中山大學財務管理學系所碩士論文，民國95年。
陳俊銘，「全球銀行業財務危機與風險管理之研究－以Panel Data模型為實證」，中原大學企業管理系所碩士論文，民國92年。
黃淑娟，「影響台灣地區產險公司現金持有之決定因素－動態現金持有模型之實證研究」，真理大學管理科學系所碩士論文，民國93年。
彭筱晴，「國際油氣公司股票報酬之探討：分量迴歸分析之應用」，淡江大學經濟學系所碩士論文，民國96年。
楊添貴，「大麥克價格與購買力平價說」，逢甲大學經濟學系所碩士論文，民國91年。
楊閔翔，「追蹤資料分析法於產業類股異常報酬之應用－主機板、營建業為例」，東海大學經濟學系所碩士論文，民國92 年。
Baltagi,B.H.（2005），“Econometric Analysis Of Panel Data”3rd ed ,John Wiely
Basher,S.A.,and Sadorsky.P.(2006)，“Oil price risk and emerging stock markets”Global Finance Journal,17,224-251
Boyer,M.M.,Filion,D.(2007),“ Common and fundamental factors in stock returns of Canadian oil and gas companies”Energy Economics,29,428-453
El-Sharif,I.,Brown,D.,Burton,B.,et.al.(2005) ,“Evidence on the nature and extent of the relationship between oil prices and equity values in the UK”Energy Economics,27,819-830
Faff,R.W. and Brailsford,T.J.(1999), “Oil price risk and the Australian stock market”Journal of Energy Finance and Development,4,69-87
Hitiris T. and J. Nixon (2001), “Convergence of Health Care Expenditure in the EU Counties,” Applied Economics Letters, 8, 223-228.
Huang,D.,Masulis,R.and Stoll,H.(1996), “Energy shocks and financial markets”Journal of Future Market,16,1-27
Judson,R.A. and Owen,A.L.(1997), “Estimating Dynamic Panel Data Models:A Practical Guide for Macroeconomists,Finance and Economics Discussion Series 1997-3”Federal Reserve Board,Washington.
Lee,C.C.,Chang,C.P.(2007), “Energy consumption and GDP revisited: A panel analysis of developed and developing countries”Energy Economics,29,1206-1223
Maddala,G.S.(2001), “Introduction to Econometrics”3rd,WILEY
Mcknight,P.J.and Weir,C.(2008), “ Agency costs, corporate governance mechanisms and ownership structure in large UK publicly quoted companies: A panel data analysis” The Quarterly Review Of Economics and Finance,article in press
Nandha,M.and Faff,R.(2008), “ Does oil move equity prices? A global view”Energy economics,30:3,986-997 
Naryan,P.K.,Narayan,S.,Smyth R.(2008), “Are oil shocks permanent or temporary? Panel data evidence from crude oil and NGL production in 60 countries” Energy economics,30:3,919-936
O’Connell, J. (1996), “The Relationship between Health Expenditures and the Age Structure of the Population in OECD Countries,” Health Economics, 5, 573-578.
Osmundsen,P.,Asche,F.,et.at(2006), “Valuation of international oil companies”Energy Journal,27,3,49-64
Osmundsen,P.,Mohn,K.,Misund,B.and Asche,F.(2006), “ Is oil supply choked by financial market pressures?” Energy Policy,35,467-474
Papapetrout,E.(2001), “Oil price shocks, stock market ,economic activity and employment in Greece”Energy Economics,23：5,511-532
Sadorsky P.(1999),“ Oil price shocks and stock market activity” Energy Economics,21:5,449-469
Sadorsky P.(2001), “ Risk factors in stock returns of Canadian oil and gas companyies” Energy Economics,23：1,17-28
Wooldridge,J.M.(2001), “Econometric analysis cross section and panel data”MIT