影響原油價格最主要的因素為供給和需求，而OPEC量產決議反映了供給量，因此OPEC量產決議對現貨價格的影響力常為投資人作為進出原油市場的重要依據之一。本研究以2001年1月2日至2018年9月28日的布蘭特原油現貨每日收盤價為研究對象，利用具有學生t分配的單變量GJR-GARCH計量經濟模型，探討OPEC量產決議對布蘭特原油現貨報酬平均數與變異數的影響。
    本研究發現，就事件短期影響期間而言，OPEC量產決議分別對現貨報酬平均數與變異數沒有影響，且同時對現貨報酬平均數與變異數也沒有影響；就事件長期影響期間而言，除OPEC量產決議下未平倉量對現貨報酬平均數有影響和OPEC量產決議對現貨報酬變異數有影響外，其他分別對現貨報酬平均數則無影響，而OPEC量產決議同時對現貨報酬平均數與變異數沒有影響。此外，本研究進一步定義不同事件影響期間為事件日當天、事件連續兩個交易日及事件前一個交易日(開會日當天)進行穩健性分析。發現OPEC量產決議分別和同時對布蘭特原油現貨報酬平均數與變異數皆不顯著，即本研究的實證結果具有穩健性。因此可歸納OPEC量產決議對布蘭特原油市場的影響力有限，本研究的結果可作為投資人的參考。

The main factor affecting the price of crude oil is supply and demand, with the amount produced by OPEC reflecting the supply. Hence, the amount that OPEC can produce, which has a strong effect on the price of the current stock, has always been a basis for investors in the crude oil market during imports and exports. This study determines the daily closing price of Brent crude oil from January 2, 2001, to September 28, 2018. The Student t distribution is used to investigate the degree to which OPEC production announcements regarding Brent crude oil affect the mean remuneration and standard variance by using the univariate GJR-GARCH econometric model.
  This study demonstrates that over a short period, the amount of oil produced by OPEC has no effect on the mean remuneration, standard variance, or combined mean remuneration and standard variance. Conversely, over a long period, except open interest under the amount of oil produced by OPEC has an effect on the mean remuneration, and the amount of oil produced by OPEC has an effect on the standard variance, but the others have no effect on the mean remuneration. The amount of oil produced by OPEC does not affect either the mean remuneration or standard variance of the current stock. This study also conducted a robustness analysis by considering a different scenario. The time period will be the event day, two continues days of event day and the day before the event day. The amount of oil produced by OPEC during these days is discovered to not affect the mean remuneration and standard variation of Brent crude oil; the results obtained in this study are thus robust. However, the amount of oil produced by OPEC has only a weak effect on the Brent crude oil market. The results of this study can serve as a reference for investors.

目錄
目錄	I
圖目錄	III
表目錄	IV
第一章  緒論	1
1.1  研究背景與動機	1
1.2  研究目的	8
1.3  研究範圍與限制	8
1.4  研究架構	9
第二章  資料與實證	11
2.1  研究樣本與資料來源	11
2.2  單根檢定模型	13
2.3  實證模型	15
2.4  概似比檢定	19
2.5  卡方獨立性檢定	19
2.6  穩健性分析	20
第三章  實證結果分析	22
3.1  基本敘述統計分析	22
3.2  單根檢定	24
3.3  實證模型參數估計與檢定	26
3.4  穩健性分析	36
第四章  結論與建議	51
4.1  結論	51
4.2  建議	52
參考文獻	54
一、 中文部分	54
二、 英文部分	54
三、 網站部分	59
附錄	61
附錄一  OPEC量產決議的開會日期(2001~2018)	61
附錄二  OPEC量產決議的開會日期(研究樣本)	64

圖目錄
圖1-1  2001-2018年各地區原油生產比例圖	2
圖1-2  歷年布蘭特原油價格走勢圖	3
圖1-3  研究流程圖	11
圖2-1  事件日的短期影響期間取樣之示意圖	13
圖2-2  事件日的長期影響期間取樣之示意圖	13
圖2-3  布蘭特原油的ACF與PACF圖	17
圖3-1  布蘭特原油現貨價格與日報酬時間的走勢圖	22

表目錄
表3-1  日報酬和期貨未平倉量的自然對數值之基本敘述統計量分析	23
表3-2  布蘭特原油現貨和期貨價格及報酬的ADF檢定與PP檢定	25
表3-3  布蘭特原油現貨和期貨價格及報酬的KPSS檢定	26
表3-4  布蘭特原油現貨的參數估計與檢定(全部樣本)	27
表3-5  OPEC量產決議對現貨報酬平均數的短期影響	28
表3-6  OPEC量產決議下未平倉量對現貨報酬平均數的短期影響	29
表3-7  OPEC量產決議下期貨報酬對貨報酬平均數的短期影響	30
表3-8  OPEC量產決議對現貨報酬變異數的短期影響	30
表3-9  OPEC量產決議同時對現貨報酬平均數與變異數的短期影響	31
表3-10  OPEC量產決議對現貨報酬平均數的長期影響	32
表3-11  OPEC量產決議下未平倉量對現貨報酬平均數的長期影響	33
表3-12  OPEC量產決議下期貨報酬對現貨報酬平均數的長期影響	34
表3-13  OPEC量產決議對現貨報酬變異數的長期影響	35
表3-14  OPEC量產決議同時對現貨報酬平均數與變異數的長期影響	36
表3-15  OPEC量產決議對現貨報酬平均數事件日當天的影響	37
表3-16  OPEC量產決議下未平倉量對現貨報酬平均數事件日當天的影
　　　  響	37
表3-17  OPEC量產決議下期貨報酬對現貨報酬平均數事件日當天的影
　　　  響	38
表3-18  OPEC量產決議對現貨報酬變異數事件日當天的影響	39
表3-19  OPEC量產決議同時對現貨報酬平均數與變異數事件日當天的
　　　  影響	40
表3-20  OPEC量產決議對現貨報酬平均數事件連續兩個交易日的影
　　　   響	41
表3-21  OPEC量產決議下未平倉量對現貨報酬平均數事件連續兩個交
　　　  易日的影響	42
表3-22  OPEC量產決議下期貨報酬對貨報酬平均數事件連續兩個交易
　　　  日的影響	43
表3-23  OPEC量產決議對現貨報酬變異數事件連續兩個交易日的影
　　　   響	43
表3-24  OPEC量產決議同時對現貨報酬平均數與變異數事件連續兩個
　　　  交易日的影響	44
表3-25  OPEC量產決議對現貨報酬平均數事件日前一個交易日的影
　　　   響	45
表3-26  OPEC量產決議下未平倉量對現貨報酬平均數事件日前一個交
　　　  易日的影響	46
表3-27  OPEC量產決議下期貨報酬對貨報酬平均數事件日前一個交易
　　　  日的影響	47
表3-28  OPEC量產決議對現貨報酬變異數事件日前一個交易日的影
　　　  響	48
表3-29  OPEC量產決議同時對現貨報酬平均數與變異數事件日前一個
　　　  交易日的影響	49

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三、 網站部分
1.歷史上的今天，1973年10月17日，第一次石油危機爆發。https:/kknews.cc/news/3bkageo.html，資料擷取日期：2019年5月20日。
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3.The United States is Now the Largest Global Crude Oil Producer.
www.eia.gov/todayinenergy/detail.php?id=37053，資料擷取日期：2019年3月20日。
4.Energy charting tool – app。https://www.bp.com/en/global/corporate/energy-economics/energy-charting-tool-desktop.html，資料擷取日期：2019年6月27日。
5.卡達宣布退出OPEC！中東產油國退群首例，「明年起不會再遵守OPEC規定」。 www.storm.mg/article/674806，資料擷取日期：2019年3月10日。
6.原油差價合約(布蘭特)。tw.tradingview.com/chart/?symbol=FX%3AUKOIL，資料擷取日期：2019年5月3日。
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