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系統識別號 U0002-2406200914062900
中文論文名稱 原油與天然氣價格互動及訊息傳遞分析
英文論文名稱 Information transmission and market interactions between the crude oil and natural gas market.
校院名稱 淡江大學
系所名稱(中) 經濟學系碩士班
系所名稱(英) Department of Economics
學年度 97
學期 2
出版年 98
研究生中文姓名 蕭琪蓉
研究生英文姓名 Chi-Jung Hsiao
學號 696570018
學位類別 碩士
語文別 中文
口試日期 2009-06-10
論文頁數 50頁
口試委員 指導教授-萬哲鈺
委員-陳思寬
委員-高崇瑋
委員-廖惠珠
中文關鍵字 原油  天然氣  共整合  波動外溢  價格領導 
英文關鍵字 Price Discovery  Volatility  Leverage Effect  EGARCH 
學科別分類 學科別社會科學經濟學
中文摘要 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。
英文摘要 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.
論文目次 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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