原油價格的變動對於總體經濟有重大的影響，亦對其他的經濟體產生影響。且對於原油相關產業、高敏感性原油運輸產業、原油密集度高的製造業有更直接的影響。有鑑於此，本文了解原油現貨與高敏感性原油相關產業間的相關性，進一步探討原油現貨於高報酬及低報酬時間，敏感性產業之波動動態關係。
    實證結果發現當現貨價格越低時對於探勘、採集等上游產業有正向影響，而運輸及航空產業中，因對於原油的需求量大，長期須要原油才得以使產業運作，故對於原油價格的變化做好了規避原油價格波動的風險，因此不論在原油現貨價格高、低報酬時對於運輸及航空產業股價指數報酬無顯著影響。高敏感性原油相關產業股價指數報酬率均存在著異常資訊所造成瞬時的跳躍行為與跳躍頻率是因時而異，且跳躍過程所引發的變異是不可忽視的重要因素。而受到異常負面消息的衝擊反應較為強烈。
　　此外，利用一般化衝擊反應函數分析探討原油現貨高、低報酬對各高敏感性產業股價指數報酬衝擊發現Nasdaq運輸股價指數報酬較具獨立性的特性。因此，原油探勘、生產、提煉、與運輸業、航空業等高敏感性之相關產業及投資者應考慮原油現貨價格變動對其所造成的影響，以提供投資者及相關產業決策者進行投資避險的最適決策參考。

The change of crude oil price has a great influence on all economies, also exert an influence on other economies. Other relevant industries, high oil sensitive transportation industries, and oil intensive manufacturing industries have more direct influences. In view of this, the fluctuation of crude oil spot price correlates with high oil sensitive industries, and integrates between high returns and low returns. In the oil price, the dynamic relation of sensitive industries. Empirical results show that the lower oil price has positive effects in prospecting industries. Airlines and transportation industries must constantly purchase oil for a long period of time in order to keep operating, hence they have already avoid the oil price volatility risk. High oil sensitive industries stock indices returns jump intensity and frequency are all time variant.
  In addition, applying impulse response function to examine high and low returns of oil spots, which indicates that Nasdaq transportation stock indices has an independent character. For this reason, oil sensitive industries and investors must consider oil price variation to relevant industries effect, in order to offer policymakers to make appropriate decisions.

目錄	
第壹章 緒論………………………………………………………………………..	1
第一節研究背景與動….……………..……………………………………….	1
第二節 研究目.…………………………………………………………….…	2
第三節 研究架.……….………………………………………………………	4
第貳章 原油現貨、高敏感性原油相關產業股價指數介紹……………….…….	6
第參章 文獻回顧…………………………………………………………………..	8
第一節 國內文獻回……………………………………………………….….	8
第二節 國外文獻回…………………………………………………………..	16
第肆章 研究方法…………………………………………………………………..	20
第一節 研究期間及研究對..............................................................................	20
第二節 單根檢定……………………………………………………………..	20
第三節 門檻自我迴歸模…………………………………………………......	26
第四節 厚尾分配……………………………………………………………..	26
第五節 跳躍-擴散模型(ARJI Model)..............................................................	28
第六節 衝擊反應函數......................................................................................	31
第七節 原油現貨與高敏感性原油相關產業股價指數之實證模型..............	33
第伍章 實證分析......................................................................................................	34
第一節 資料處理與分析..................................................................................	34
第二節 基本敘述統計....................................…..............................................	35
第三節 單根檢定..............................................................................................	38
第四節 ARJI模型..............................................................................................	40
第五節 TAR模型..............................................................................................	46
第六節 衝擊反應函數分析..............................................................................	48
第陸章 結論...........................................................................…...…........................	53

表次	
【表2.1】原油現貨、期貨、股價指數商品介紹………………………………...	7
【表5.2.1】原油敏感性產業股價指數之基本統計量……………………………	34
【表5.3.1】高敏感性原油相關產業時間序列資料之單根檢定（水準項）……	39
【表5.3.2】高敏感性原油相關產業時間序列資料之單根檢定（差分項）……	39
【表5.4.1】厚尾分配之ARJI模型估計與檢定……………………………………	43
【表5.5.1】高敏感性原油產業在原油現貨價格高、低報酬區間之平均跳躍頻率與跳躍機率…………………………………………………………	47
【表5.5.2】高敏感性原油產業在原油現貨價格高、低報酬區間之平均跳躍頻率與跳躍機率…………………………………………………………	47
【表5.6.1】衝擊反應分析結果……………………………………………………	50

圖次	
【圖1.3.1】研究架構及研究流程............................................................................	5
【圖5.2.1】原油現貨價格原始序列圖……………………………………………	36
【圖5.2.2】Bloomberg原油相關產業股價指數(BUSOILP)原始序列圖………...	37
【圖5.2.3】美國證交所原油相關產業股價(AOI)原始序列圖…………………...	37
【圖5.2.4】美國證交所航空產業股價(AAI)原始序列圖………………………...	37
【圖5.2.5】那斯達克運輸產業股價(NTI)原始序列圖…………………………...	37
【圖5.4.1】美國證交所航空產業股價指數(AAI)報酬率之不連續跳躍頻率…...	44
【圖5.4.2】美國證交所原油相關產業(AOI)指數報酬率之不連續跳躍頻率…...	44
【圖5.4.3】Bloomerg原油相關產業指數(BUSOILP)報酬率之不連續跳躍頻率.	44
【圖5.4.4】那斯達克運輸產業指數(NTI)報酬率之不連續跳躍頻率…………...	44
【圖5.4.5】美國證交所航空產業指數(AAI)報酬率之不連續跳躍機率………...	45
【圖5.4.6】美國證交所原油相關產業指數(AOI)報酬率之不連續跳躍機率…...	45
【圖5.4.7】Bloomerg原油相關產業指數(BUSOLIP)報酬率之不連續跳躍機率.	45
【圖5.4.8】那斯達克運輸產業指數(NTI)報酬率之不連續跳躍機率…………...	45
【圖5.6.1】原油高報酬區間的衝擊反應圖………………………………………	51
【圖5.6.2】原油低報酬區間的衝擊反應圖……………………………………...	52

                                     	
	
	
	
	
	
	
	
	
	








	
圖次	
【圖1.3.1】研究架構及研究流程............................................................................	5
【圖5.2.1】原油現貨價格原始序列圖……………………………………………	36
【圖5.2.2】Bloomberg原油相關產業股價指數(BUSOILP)原始序列圖………...	37
【圖5.2.3】美國證交所原油相關產業股價(AOI)原始序列圖…………………...	37
【圖5.2.4】美國證交所航空產業股價(AAI)原始序列圖………………………...	37
【圖5.2.5】那斯達克運輸產業股價(NTI)原始序列圖…………………………...	37
【圖5.4.1】美國證交所航空產業股價指數(AAI)報酬率之不連續跳躍頻率…...	44
【圖5.4.2】美國證交所原油相關產業(AOI)指數報酬率之不連續跳躍頻率…...	44
【圖5.4.3】Bloomerg原油相關產業指數(BUSOILP)報酬率之不連續跳躍頻率.	44
【圖5.4.4】那斯達克運輸產業指數(NTI)報酬率之不連續跳躍頻率…………...	44
【圖5.4.5】美國證交所航空產業指數(AAI)報酬率之不連續跳躍機率………...	45
【圖5.4.6】美國證交所原油相關產業指數(AOI)報酬率之不連續跳躍機率…...	45
【圖5.4.7】Bloomerg原油相關產業指數(BUSOLIP)報酬率之不連續跳躍機率.	45
【圖5.4.8】那斯達克運輸產業指數(NTI)報酬率之不連續跳躍機率…………...	45
【圖5.6.1】原油高報酬區間的衝擊反應圖………………………………………	51
【圖5.6.2】原油低報酬區間的衝擊反應圖……………………………………...	52

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