本文利用三種計量模型分析英美兩國原油和天然氣市場間的訊息傳遞及價格的互動模式。為了避免非同步交易而產生的偏誤，因此本文採用兩套數據作為分析。在修正完非同步交易的問題後，共整合模型指出英美兩國的原油與天然氣均被共同基本面因子所牽引且具有長期的共整合關係。由Hasbrouck訊息比例模型可發現，原油較天然氣具有領導的地位，其中又以英國原油領導其他三者(包括美國原油期貨、英國天然氣期貨以及美國天然氣期貨)。此外在EGARCH模型中也不難看出英美兩國油氣間的互動關係極為密切，且波動外溢的不對稱效果指出英國原油期貨市場則存在與傳統股票市場相同之「槓桿效果」，亦即負衝擊造成的波動增加較正衝擊時為大。

This paper studies the international information transmission and market interactions in the U.S. and U.K. between crude oil markets and natural gas markets. Three well documented approaches are used to measure the relative importance on the process of price discovery under quadvariate system. To circumvent the effects of the nonsynchronous prices, we adopt two sets of data. After adjusting the effects of nonsynchronous trading prices, robust results indicate our system that includes crude oil futures prices and natural gas futures prices within the two countries are driven by one common factor. The Hasbrouck model indicates crude oil markets has price leadership than natural gas markets, and the U.K. crude oil futures market dominates as the center for price discovery. The EGARCH model also indicates crude oil markets and natural gas markets have close relationships, and volatility in the U.K. crude oil futures market increases with negative returns which is similar with the volatility changes in the stock market.

表目錄	II
表目錄	II
圖目錄	III
第一章  緒論	1
1.1  研究背景與研究動機	1
1.2  研究目的	4
第二章  文獻回顧	5
2.1  統計方法之文獻回顧	5
2.2  原油與天然氣價格行為之文獻回顧	10
2.3  期貨與現貨價格行為研究與分析之文獻回顧	15
第三章  研究方法與模型	17
3.1  單根檢定	17
3.2  Granger因果關係檢定	19
3.3  共整合與誤差修正模型	20
3.4  共同因子模型	23
3.5  GARCH 模型	24
第四章  研究結果與分析	26
4.1  資料描述	26
4.2  單根檢定結果	31
4.3  共整合與弱外生檢定	36
4.4  訊息比例模型	38
4.5  EGARCH模型估計與檢定結果	41
第五章  結論	46
參考文獻	48

	1
表目錄
表格 1英美兩國油氣價格之敘述統計量	27
表格 2原始資料的單根檢定	34
表格 3差分資料的單根檢定	35
表格 4 Johansen共整合檢定	37
表格 5 Granger因果檢定結果	38
表格 6弱外生檢定	39
表格 7英美油氣市場之訊息比例	39
表格 8原油市場個別計算之訊息比例	39
表格 9天然市場個別計算之訊息比例	39
表格 10 EGARCH模型估計結果與波動外溢性	43

圖目錄
圖 1英美兩國原油價格之趨勢圖	27
圖 2英美兩國天然氣價格之趨勢圖	28
圖 3英國油氣價格之趨勢圖	28
圖 4美國油氣價格之趨勢圖	29
圖 5英美原油之原始價格價差	29
圖 6英美原油價格取對數後之價差	30

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