本文實證模型使用González, Teräsvirta and van Dijk (2004, 2005)的縱橫平滑移轉迴歸模型，探討不同的原油價格對亞洲四國航空業股價報酬是否存在縱橫平滑移轉效果。並進一步探討其他變數如原油價格、利率、匯率及ROE對航空業股價報酬的影響。
實證結果顯示，原油價格低並不代表就會有正報酬；反之，當油價上漲時，油價對股價報酬的影響為顯著負相關，但這觀點並不適用於日本與南韓市場。在絕大部分的原油價格區間上，匯率對中國與台灣的股價報酬為顯著正相關。然而，匯率對日本股價報酬為負相關；利率對四國的股價報酬皆為正相關。ROE對任何市場的股價報酬在任何門檻值的區間上都是無顯著影響，除了當原油價格介於105.8817~106.3475美元的時候，ROE對韓國的股價報酬才有顯著正相關。
綜合以上所述，本研究建議投資人在選擇航空產業投資時，不能只看原油價格低就投資，仍然需多參考總體經面如利率、匯率等去評估當時經濟與市場環境是否適合投資，再去觀察原油價格走勢會是較為合適的做法。

We adopt the panel smooth transition regression model developed by González, Teräsvirta and van Dijk (2004, 2005) to examine whether crude oil prices may cause smooth transition effects on airline’s stock returns in four Asian countries. In addition, we also evaluate the influence of some independent variables on stock returns. The empirical results are as below:
Firstly, lower crude oil prices do not guarantee that there will be a positive return. On the contrary, when crude oil prices go up, it has a significant positive relationship with stock returns except in Japanese and South Korean stock markets. Secondly, in most of the crude oil price regimes, the exchange rate has a significant positive relationship with Chinese and Taiwanese stock returns. However, the exchange rate has a significant negative relationship with Japanese stock returns. In addition, the interest rate has a significant positive relationship with four countries’ stock returns. Finally, the influence of ROE on stock returns is not significant in the stock market in three of the four countries. However, ROE has a significant positive relationship with South Korean stock returns when the crude oil price is between USD $105.8817 and USD $ 106.3475.
To summarize, investors are not advised to invest in the airline industry by merely considering crude oil prices. It is also crucial to look at macroeconomic aspects, e.g., the interest rate and the exchange rate. In other words, it would be better to estimate whether the economic conditions and the market environment for the present are suitable for investment before considering the crude oil prices.

目  錄 III
表目錄 IV
圖目錄 VI
第一章 緒  論1
第一節 研究背景與動機1
第二節 研究目的6
第三節 研究流程7
第四節 研究架構8
第二章 文獻探討9
第一節 原油價格對股票市場的影響與關係9
第二節 原油價格對航空業與其他運輸業的影響12
第三節 其他總體與個體因素與股價報酬間關係14
第三章 研究方法17
第一節 研究資料17
第二節 研究方法21
第三節 縱橫單根檢定22
第四節 縱橫平滑移轉迴歸模型25
第五節 縱橫平滑移轉迴歸模型之設定30
第四章 實證結果與分析37
第五章 結論與建議61
參考文獻	64

表  目  錄
表3-1-1 本次研究地區與對象	20
表3-1-2 模型變數彙整表20
表4-1-1 各變數敘述統計量37
表4-1-2 依各國家區分之敘述統計量39
表4-2-1 縱橫單根檢定40
表4-2-2 縱橫單根檢定(資料經一階差分)41
表4-3-1 原油價格對中國航空業股價報酬之同質性檢定42
表4-3-2 原油價格對日本航空業股價報酬之同質性檢定43
表4-3-3 原油價格對南韓航空業股價報酬之同質性檢定43
表4-3-4 原油價格對台灣航空業股價報酬之同質性檢定43
表4-3-5 空間向量的位置參數之檢測44
表4-3-6 原油價格對中國之航空業股價報酬之區間個數檢定44
表4-3-6 原油價格對中國之航空業股價報酬之區間個數檢定(續)45
表4-3-7 原油價格對日本之航空業股價報酬之區間個數檢定45
表4-3-8 原油價格對南韓之航空業股價報酬之區間個數檢定45
表4-3-9 原油價格對台灣之航空業股價報酬之區間個數檢定46
表4-3-10 原油價格對中國航空業股價報酬之模型估計結果50
表4-3-10 原油價格對中國航空業股價報酬之模型估計結果(續)51
表4-3-11 解釋變數在不同原油價格下對中國航空業股價報酬的影響52
表4-3-12 原油價格對日本航空業股價報酬之模型估計結果55
表4-3-13 解釋變數在不同原油價格下對日本航空業股價報酬的影響55
表4-3-14 原油價格對南韓航空業股價報酬率之模型估計結果57
表4-3-15 解釋變數在不同原油價格下對南韓航空業股價報酬的影響57
表4-3-16 原油價格對台灣航空業股價報酬之模型估計結果59
表4-3-17 解釋變數在不同原油價格下對台灣航空業股價報酬的影響60

圖目錄
圖1-1-1 布蘭特原油現貨價格	3
圖1-4-1 研究架構圖8
圖3-4-1 m=1之轉換模型27
圖3-4-2 m=2之轉換模型28

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二、中文文獻	
劉燕東，(2015) ，「國際油價波動對我國上市航空公司股價的影響」，石油和化工設備，第7期，頁102-105。

三、相關網站
美國能源資訊署EIA https://www.eia.gov/
中華民國交通部民航局http://www.caa.gov.tw/big5/index.asp
台灣中油股份有限公司http://new.cpc.com.tw/Home/