淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-1807200711215800
中文論文名稱 原油現貨、期貨與相關性產業之連動關係
英文論文名稱 The correlation between crude oil stock ,future and related industry
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 紀慧君
研究生英文姓名 Hui-Chun Chi
學號 794490192
學位類別 碩士
語文別 中文
口試日期 2007-06-30
論文頁數 62頁
口試委員 指導教授-邱建良
指導教授-鄭婉秀
委員-李命志
委員-林卓民
委員-邱哲修
中文關鍵字 原油  厚尾分配  跳躍  波動 
英文關鍵字 Crude oil  Heavy tail distribution  Jump  Volatility 
學科別分類
中文摘要 本文研究以厚尾分配之 ARJI 模型探討原油現貨、原油期貨與原油相關產業股價指數之波動性,進一步採用 Bai and Perron (1998) 區分結構轉折點,以原油現貨為基準點,分析波動性於上漲前後的差異性及原油現貨、原油期貨及原油相關產業股價指數之間波動相關性。最後,選取樣本期間內之重大事件,探討事件期間之跳躍頻率、跳躍機率。結果發現,當原油現貨、原油期貨及原油相關產業股價指數在上漲後,其平均跳躍頻率與平均跳躍機率都較小。在重大事件的衝擊影響方面,美國 911 事件之衝擊最為強烈。在 Pearson 相關檢定顯示波動性在現貨、期貨與指數間成反向關係。
英文摘要 This paper adopts heavy tail distribution to discuss the volatility of crude oil stock、future and crude oil related industry stock price index. Further, I adopt Bai and Perron (1998) model, divided structure transition, using the crude oil stock as a benchmark and analyze the discrepancy between the volatility of before-rise and after-rise and volatility correlation between the crude oil stock, future and crude oil related industry stock price index. Finally, I select the vast events in the period of sample, discussing the DV and JP during events. Besides, after the crude oil stock, future and crude oil related industry stock price’s index rise, the average DV and JP are smaller. In the aspect of huge influence of heavy events, 911 is the roughest one. Pearson interaction test shows the reverse relationship between the volatility of future, stock and index.
論文目次 第一章 緒論 ...................................................................................................1
第一節 前言....................................................................................................1
第二節 研究動機與目的....................................................................................2
第三節 研究架構..............................................................................................4
第二章 文獻回顧..............................................................................................6
第一節 國外之文獻回顧....................................................................................6
第二節 國內之文獻回顧...................................................................................10
第三章 研究方法.............................................................................................14
第一節 單根檢定.............................................................................................14
第二節 ARCH 模型..........................................................................................18
第三節 GARCH-NoVaS 模型. ..........................................................................20
第四節 ARJI 模型............................................................................................27
第五節 結構性轉折..........................................................................................32
第六節 本文實證模型.......................................................................................35
第四章 實證分析..............................................................................................36
第一節 資料處理與分析....................................................................................36
第二節 單根檢定..............................................................................................39
第三節 ARCH 檢定..........................................................................................42
第四節 ARJI 模型檢定......................................................................................43
第五節 BAI 模型檢定........................................................................................52
第六節 Pearson 相關檢定.................................................................................56
第五章 結論.....................................................................................................57
參考文獻.........................................................................................................59

表目錄
表4.1 日報酬率的簡單統計量.............................................................................37
表4.2 ADF 單根檢定法(水準項) .........................................................................40
表4.3 PP 單根檢定法(水準項)............................................................................40
表4.4 ADF 單根檢定法(差分項)..........................................................................41
表4.5 PP 單根檢定法(差分項)............................................................................41
表4.6 ARCH 效果檢定......................................................................................42
表4.7 ARJI 模型估計與檢定...............................................................................45
表4.8 西德州中級原油現貨、期貨及相關產業股價指數股價報酬率在上漲前
、後報酬區間之平均跳躍頻率與跳躍機率............................................................53
表4.9 西德州中級原油現貨、期貨及相關產業股價指數股價報酬率在重大事
件期間之平均跳躍頻率與跳躍機率......................................................................55
表4.10 現貨、期貨、指數之波動性的Pearson相關檢定.........................................56

圖目錄
圖1.1 研究流程圖..............................................................................................5
圖4.1 西德州中級原油現貨(BUSOILP)走勢圖.......................................................38
圖4.2 西德州中級原油期貨(CL1)走勢圖...............................................................38
圖4.3 原油相關產業(USCRWTIC)走勢圖..............................................................38

圖4.4 現貨跳躍頻率...........................................................................................46
圖4.5 現貨跳躍機率...........................................................................................46
圖4.6 期貨跳躍頻率...........................................................................................47
圖4.7 期貨跳躍機率...........................................................................................47
圖4.8 指數跳躍頻率...........................................................................................48
圖4.9 指數跳躍機率...........................................................................................48
圖4.10 現貨跳躍頻率..........................................................................................49
圖4.11 現貨跳躍機率..........................................................................................49
圖4.12 期貨跳躍頻率..........................................................................................50
圖4.13 期貨跳躍機率..........................................................................................50
圖4.14 指數跳躍頻率..........................................................................................51
圖4.15 指數跳躍機率..........................................................................................51

參考文獻 壹、國內文獻:

文建昌(2004) ,“原油期貨與期權避險策略績效評估-以原油價格風險為例” , 中興大學應用經濟學碩士論文。

呂穎昇(2003),“我國原油進口之期貨避險研究”, 中華大學經營管理研究所碩士論文。

李應勳(2004) ,“原油價格波動與避險策略之研究” , 淡江大學財務金融學系碩士論文。

林師模(2004) ,“不完全競爭市場結構下原油價格衝擊傳遞效果之一般均衡分析”, 中原大學國際貿易所碩士論文。

林俊彥 (2005) ,“匯率、股價、油價之關連性–遠東地區為例”, 朝陽科技大學財務金融系碩士論文。

林建智(2006) ,“原油價格與股價關係之探討─以美國及台灣為例”, 世新大學財務金融學碩士論文。

陳思穎(1999),“中油公司進口原油價格與匯率之選擇性避險研究”, 台北大學經濟學系碩士論文。

陳淑玲 (2004) , “石油價格與黃金價格衝擊對台灣加權股價指數期、現貨的影響” , 台北大學合作經濟學系碩士論文。

黃則尹(2005) ,“國際原油市場間價格之資訊傳遞效果”, 雲林科技大學財務金融系碩士論文。

黃敏華(2005),“股市與原油現貨及期貨價格間關聯性分析”, 中原大學國際貿易碩士論文。

楊長霏 (2004) ,“以向量自我迴歸模式探討台灣股價及國際油價之關聯性”, 南華大學管理科學碩士論文。

楊為政(2005) ,“石油期貨避險比率與避險績效之研究”, 長庚大學企業管理碩士論文。

廖世仁、陳金廷(2006),“油價、金價與台灣產業分類股價指數關聯性探討”,樹德科技大學金融保險所,2006 創新、整合與應用研討會。

劉筱筠(2005),“應用門檻 GARCH-M 模型分析國際原油價格變動與台灣股價報酬波動的關連性”, 台北大學經濟學系碩士論文。

鄭明義(2004),“國際原油市場技術分析”, 淡江大學經濟學系碩士論文。

謝秀鑾(2004) ,“能源期貨幣險策略之研究 -以西德州原油與布蘭特原油為例”, 淡江大學財務金融學系碩士論文。

貳、國外文獻:

Bates, D. S. (1991) “The Crash of 87 : Was it Expected ? The Evidence form the Options Markets” Journal of Finance, Vol. 46, pp. 1009-1044.

Bollerslev, T. (1986) “Generalized Autoregressive Condition Heteroskedasticity", Journal of Econometrics, Vol. 31, pp. 307-327.

Chan, W. H. & J. M. Maheu ( 2002 ) “Conditional Jump Dynamics in Stock Market Return” Journal of Business & Economic Statistics, Vol. 20, pp. 377-389.

Chaudhuri, K. & S. Smiles (2004) “Stock Market and Aggregate Economic Activity: Evidence from Australia” Applied Financial Economics, Vol.14, pp. 121-129.

Engle, R. & B. Yoo(1987) “Forecasting and Testing in Cointegrated Systems” Journal of Econometrics, Vol. 35, pp. 143-159.

Engler, R. F. (1982) “Autoregressive Conditional Heteroscedasticity with 16. Estimatesof the Variance of U.K. Inflation" Econometrica, Vol. 50, pp. 987-1008.

Granger, C. W. & P. Newbold(1974) “Superious Regressions in Econometrics” Juornal of Econometrics, Vol. 12, pp.111-120.

Gurcan S. G. (1999) “Regionalzation in the World Crude Oil Market: Further Evidence” Energy Journal; 20, 1; ABI/INFORM Global, pp. 125.

Hammoudeh S. & E. Aleisa (April, 2004) “Dynamic Relationships among GCC Stock Markets and NYMEX Oil Futures” Contemporary Economic Policy, Vol. 22, No. 2, pp.250-269.

Hammoudeh S. & K. Choi (2006) “Behavior of GCC Stock Markets and Impacts of US Oil and Financial Markets” Research in International Business and Finance, Vol. 20, pp. 22-44.

Hammoudeh, S. & H. Li (2005) “Oil Sensitivity and Systematic Risk in Oil-Sensitive Stock Indices” Journal of Economics and Business Vol. 57, pp. 1-21.

Hammoudeh, S. & S. Dibooglu and E. Aleisa (2004) “Relationships among U.S. Oil Prices and Oil Industry Equity Indices” International Review of Economics and Finance, Vol. 13, pp. 427-453.

Jones C. M. & G. Kaul (Jun., 1996) “Oil and the Stock Markets” Journal of Finance, Vol. 51, No. 2., pp. 463-491.

Kaufmann R. K. & C. Laskowski (2005) “Causes for an Asymmetric Relation between the Price of Crude Oil and Refined Petroleum Products” Energy Policy, Vol. 33, pp. 1587-1596.

Lin S. X. & M. N. Tamvakis (2001) “Spillover Effects in Energy Futures Markets” Energy Economics, Vol. 23, pp. 43-56.

Mabros R. (1998) “The Oil Price Crisis of 1998” Oxford Institute for Energy Studies, pp. 43.

Maghyereh & Aktham (2004) “Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach” International Journal of Applied Econometrics and Quantitative Studies, Vol. pp 1-2.

Papapetrou E. (2001) “Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece” Energy Economics, Vol. 23, pp. 511-532.

Phillips, P. & P Perron (1988) “Testing for a Unit Root in Time Series Regression” Biometrika, Vol. 75, pp. 335-346.

Pindyck R. S. (2004) “Volatility and Commodity Price Dynamics” Journal of Futures Markets, Vol. 24, No. 11, 1029-1047.

Politis, N. Dimitris (2004) “A Heavy-tailed Distribution for ARCH Residuals with Application to Volatility Prediction” Annals of Economics and Finance, Vol. 5. pp. 283-298.

Sadorsky P. (1999) “Oil Price Shocks and Stock Market Activity” Energy Economics, Vol .21, pp. 449-469.

Said, S. & D. Dickey(1984) ”Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order” Biometrika, Vol. 71, pp. 599-607.

Sakellaris P. (May, 1997) “Irreversible Capital and the Stock Market Response to Shocks in Profitability” International Economic Review, Vol. 38, No. 2.

Scarpa E. & M. Manera (2006) “Pricing and Hedging Illiquid Energy Derivatives: an Application to the JCC Index” NOTA DI LAVORO 130.

Silvapulle P. & I. A. Moosa (1999) “The Relationship between Spot and Futures Prices: Evidence from the Crude Oil Market” Journal of Futures Markets, Vol. 19, No. 2, pp. 175-193.

Tang G. Y. N. & W. Cheong Shum (2003) “The Relationships between Unsystematic risk, Skewness and Stock Returns during Up and Down markets” International Business Review, Vol. 12, pp. 523-541.

論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2007-07-26公開。
  • 同意授權瀏覽/列印電子全文服務,於2007-07-26起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信