隨著國際間對於能源需求量愈趨殷切，而全球能源中又以石油最為國際市場所重視，因此探討油價報酬對於股價報酬率之重要性自然不在話下。而油價波動對於一國所受到最直接之影響反應在財務市場上則為股票市場。本研究以美國紐約商品交易所之最近月份期貨價格及道瓊工業指數作為樣本，利用非線性模型研究1995年1月1日至2004年12月31日間，探討兩財務市場間之相互非線性關係及價格傳遞效果與因果關係。
為了解油價期貨及股價指數報酬所可能存在的非線性關係，本文首先以NP(Ng and Perron,2000 ) 、PP (Philips and Perron, 1988) 、KPSS ( Kwiatkowski, Philips, Schmit and Shin,1992)、 KSS單根檢定法(Kapetanios et al.,2003)等之線性與非線性單根檢定以測試時間序列資料定態(Stationary)關係，再利用Enders and Granger(1998)之門檻自我回歸模型(Threshold Autoregressive Model；TAR)及動差門檻自我回歸模型(Momentum-Threshold Autoregressive Model；M-TAR)進行門檻共整合檢定(Threshold Cointegration Tests)，並利用非對稱之誤差修正模型(Error-Correction Model)來捕捉長期關係並與傳統之誤差修正模型(Error-Correction Model, ECM)之估計結果進行比較。
實證結果則發現無論利用線性或非線性單檢定模型，兩時間數列在近十年之時間序列原始資料皆為非定態，但經過一階差分後均呈現定態。而在運用門檻共整合檢定方式則得知股價指數報酬及油價期貨報酬在1%之顯著水準下呈現拒絕無共整合及對稱效果之虛無假設，表示兩變數之間具有長期均衡關係及非對稱關係。並再進一步利用門檻誤差修正模型以測試價格傳遞之效果則發現，單向的因果關係短期間存在於股價指數報酬影響油價期貨報酬之中，此一結果亦與Cetin(2002) 對油價期貨與S&P500指數研究之結論相呼應。而在長期，本研究亦發現單向的因果關係存在於油價報酬影響股價指數報酬之間。

With the coming of increased needs on international commodities, oil price movement has surely been focused on because it is certainly one of the most important and popular commodities in the world. It goes without saying that the importance of the relationship between oil price returns to stock price returns . In this paper, we are trying to use Nymex nearest oil futures prices and Dow Jones Industrial Index as the samples during the periods of 1995-2004 to discuss nonlinearities and causality relationship between these both financial markets.
  In order to understand the possible nonlinear relationships between oil price returns and stock price returns, we tried to use nonlinear and linear unit roots tests as the comparison to test the stationary of all the data bases, then we further used threshold cointegration and threshold error-correction model to understand long-term equilibrium relationship and causality while it is up or down of the pre-tested threshold through the choice of optimized module of MTAR or TAR.       
  Through experimental results, we found that these time series of both financial markets are stationary after first differential however they are non-stationary for the original samples no matter by traditional or nonlinear unit roots tests. And both of the variables have asymmetrical long-term equilibrium after the testing of nonlinear threshold coin-integration. We further used threshold error-correction model and found that one way causality relationship, in the short-run, existed on stock price returns to oil price returns, which is the same result shown in Cetin’s (2002) paper. However, in the long-run ,one way causality relationship existed on oil price returns to stock price returns.

目錄
															頁次
摘要…………………………………………………………………  一
目錄…………………………………………………………………  五
表目錄………………………………………………………………  六
圖目錄………………………………………………………………  六
前言…………………………………………………………………  七
第一章、緒論………………………………………………………	 1
    第一節、研究動機……………………………………………  1
    第二節、研究限制……………………………………………	 4
    第三節、本文架構……………………………………………  4
    第四節、研究架構……………………………………………  6

第二章、文獻回顧…………………………………………………  7
    第一節、紐約交易所輕甜原油簡介…………………………  7
    第二節、國外文獻……………………………………………  8
    第三節、國內文獻…………………………………………… 13

第三章、研究方法………………………………………………… 15 
    第一節、單根檢定…………………………………………… 15
    第二節、共整合檢定………………………………………… 19
    第三節、門檻誤差修正模型檢定…………………………… 24
	
第四章、實證結果與分析………………………………………… 26 
    第一節、資料來源、研究期間及資料處理方式…………… 26
    第二節、原始資料概述……………………………………… 27
    第三節、實證分析及結果…………………………………… 29

第五章、結論與建議……………………………………………… 36
參考文獻…………………………………………………………… 38





						表目錄
														頁次
表2.1 紐約商品期貨交易所原油期貨契約規格簡介	………… 7
表 2.2 其他文獻整理表…………………………………………… 11 
表 4.1 油價期貨報酬與股價指數報酬之一般敘述統計 ………  28
表 4.2 KSS單根檢定測試…………………………………………  30
表 4.3 PP,NP and KPSS單根檢定測試…………………………… 30 
表 4.4 門檻共整合檢定—MTAR結果……………………………… 31
表 4.5 誤差修正模型之估計值……………………………………  34



						圖目錄
圖 1.1 近十年最近月份油價期貨圖形…………………………… 2
圖 1.2近十年道瓊工業指數之圖形………………………………  3
圖 1.3 研究架構流程圖…………………………………………… 6

ㄧ.中文部份
任淑怡(2001)，「台灣景氣循環與國際原油價格-合與共特徵分析」，私立輔仁大學經濟學研究所碩士論文，頁18~45。
李可強(2004)，「原物料價格與股價關係之探討-以塑化產業為例」，私立輔仁大學金融研究所碩士論文，頁41~55。
林淑惠(2003)，「台灣區域性失業支遲滯效應—Panel單根檢定方法與效應」，私立逢甲大學經濟學系碩士班碩士論文，頁21~29。
劉邦彥(2004)，「股價與匯價非線性關係之探討:以台灣及南韓為例」，私立逢甲大學經濟學系碩士班碩士論文，頁09~19。
聶建中與鄭佳音(2000)，「台灣地區股價與房價之線性及非線性互動關係」，台灣土地金融季刊第37卷第一期，頁29~45。

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