近年由於高油價與溫室效應問題，使得全世界意識到能源危機的議題。隨著國際油價大漲，有關石油產業動態受到各方矚目，其獲利情形更是焦點所在。
    本研究以1994年1月至2006年8月在美國紐約證券交易所上市的油氣公司為研究對象，採用Sharpe提出的資本資產訂價模型為基礎並利用Koenker提出的分量迴歸分析法進行實證研究，探討利差、油價、氣價及市場因子與油氣公司股價之關連性。實證結果發現：在不同分量下，油價變動、氣價變動、市場超額報酬、利差變動等因素對油氣公司之股票報酬具有顯著的影響力。其中，油價因素、氣價因素和市場因素對股票報酬有顯著的正向影響，且隨著分量水準愈高，油價報酬對油氣公司股票超額報酬之影響程度愈小而受氣價報酬影響的程度愈高；而利率因素對股票報酬有顯著的負向影響，其中於25%到90%分量水準下，利用有母數與半母數分量法皆得到利差變動(期間溢酬)與油氣公司股票超額報酬呈顯著負相關，但於10%分量水準下，利用前法得出的結果並不顯著，而利用後法得出的結果則為顯著，且於90%分量水準下，其帶給油氣公司負面影響程度最大。

The problem of high oil price and global warming in recent years, moved people concern about the issue of energy crisis in the world. According to the increasing of oil price, the performance for oil and gas companies will become an important role in study. 
    This paper tried to investigate the relationship of stock price for oil and gas companies issued monthly data (1994-2006) in New York Stock Exchange and the factors of interest rate, oil price, gas price and market used by Capital Asset Pricing Model(CAPM) from Sharpe and quantile analysis form Koenker . Finally find that the signs of all coefficients for each quantile are significant and generally consistent to what we had expected. Oil return, gas return and market excess return have significantly positive impacts on the oil and gas sock excess returns. The higher quantile ,oil return will have smaller impact and gas return will have bigger impact. Interest rate factor have significantly negative impact on oil and gas stock excess returns, especially in 25% to 90% quantile, the results are identical in parametric and semi-parametric quantile analysis, but in 10% quantile, the results are only significantly in semi-parametric quantile anlysis. Another finding in term premium is in 90% quantile, the impact is  larger.

目錄
第一章、緒論 …………………………………………………………1
    第一節、前言 ……………………………………………………1
    第二節、研究背景、動機與目的 ………………………………1
    第三節、研究方法與流程 ………………………………………3
    第四節、研究內容 ………………………………………………6
第二章、文獻回顧 ……………………………………………………8
    第一節、分量迴歸應用文獻之探討 ……………………………8
    第二節、石油與天然氣公司相關文獻…………………………13
    第三節、小結……………………………………………………16
第三章、研究方法……………………………………………………17
    第一節、一般迴歸分析法………………………………………17
    第二節、有母數分量迴歸分析法………………………………20
    第三節、半母數分量迴歸分析法………………………………24
第四章、資料與實證結果分析………………………………………27
    第一節、基本統計分析…………………………………………27
    第二節、一般迴歸分析法實證分析……………………………38
    第三節、有母數分量迴歸分析法實證分析……………………43
    第四節、半母數分量迴歸分析法實證分析……………………48
第五章、結論與建議…………………………………………………53
    第一節、結論……………………………………………………53
    第二節、未來研究建議…………………………………………55
參考文獻、……………………………………………………………57
附錄一、………………………………………………………………60
附錄二、………………………………………………………………62
附錄三、………………………………………………………………63
附錄四、………………………………………………………………64
圖目錄
【圖1-1】研究架構圖 ………………………………………………5
【圖4-1】利差趨勢圖………………………………………………33
【圖4-2】原油期貨價格趨勢圖……………………………………34
【圖4-3】天然氣期貨價格趨勢圖…………………………………34
【圖4-4】紐約證券綜合指數趨勢圖………………………………35
【圖4-5】利差變動率(期間溢酬)趨勢圖…………………………36
【圖4-6】油價變動(報酬)率趨勢圖………………………………36
【圖4-7】氣價變動(報酬)率趨勢圖………………………………37
【圖4-8】市場指數超額變動(報酬)率趨勢圖……………………37
【圖4-9】有母數分量迴歸圖………………………………………47
【圖4-10】半母數分量迴歸圖 ……………………………………51
表目錄
【表 4-1】變數名稱與來源 …………………………………………28
【表 4-2】變數定義表(報酬：%)……………………………………31
【表 4-3】平均數、標準差、最大值與最小值之統計量表 ………32
【表 4-4】平均數、標準差、最大值與最小值之統計量表(取報酬
          酬值：%) …………………………………………………33
【表 4-5】ㄧ般迴歸模型實證結果(報酬：%)………………………39
【表 4-6】整合型油氣公司ㄧ般迴歸模型實證結果(報酬：%)……41
【表 4-7】開採業油氣公司ㄧ般迴歸模型實證結果(報酬：%)……41
【表 4-8】油品煉製業油氣公司ㄧ般迴歸模型實證結果(報酬：%)
           ……………………………………………………………42
【表 4-9】有母數迴歸模型實證結果(報酬：%)……………………44
【表 4-10】有母數迴歸模型ANOVA實證結果(報酬：%)……………47
【表 4-11】半母數迴歸模型實證結果(報酬：%) …………………49

中文文獻
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