石油是目前主要能源之一，其價格波動對全球各國的經濟、政治影響甚大。由於我國的原油主要仰賴進口，近來國際油價高漲，對台灣整體經濟是一個嚴重的問題。油價上漲增加財政負擔、造成其企業生產成本提高，進而影響出口競爭力，導致企業獲利下降， 所以國際原油價格的變動，是一個相當值得我們重視的議題。本研究以Sadorsky (2001)多因子市場模型(Multi-factor market model)為基礎，探討2001年~2012年間油價變動對於公司股價報酬的影響，文中將利用台灣證券交易所上市之航運業、塑膠工業、發光二極體、建築營造業、以及金融業之資料進行實證分析，希望透過跨產業的比較，釐清油價變動對於各產業公司股價的實際影響。本研究擬探討總體面(油價變動率、市場超額報酬變動率、利差變動率、匯率變動率)因素及各別公司特性(成交量、淨值市價比、營收、本益比)這兩大變因對於各公司股票報酬之影響能力。 本研究實證結果顯示，油價變動對以石油為重要原料之產業而言，呈現正向顯著，對股價有正向的影響效果。其他產業則因模型設定不同模型，而使顯著性有差異。而各公司股票報酬也受公司特性之因素而產生影響。 Oil is one of the major energy resources currently with its price fluctuation remarkably affecting the economy and politics of every nation around the world. Because we heavily depend on imported oil, the soaring oil prices on international markets recently cause a severe issue to the overall economy of Taiwan. The soaring oil prices have added our financial burden to badly impede our export competitiveness due to cost-up pressure with revenue reduced among local business organizations. Therefore, the fluctuation of the oil prices on international markets is quite an issue worthy of our emphasis. This study was based on the Multi-factor Market Model proposed by Sadorsky (2001) to explore the influence on the investment return of stock prices caused by the fluctuation of oil prices during the period from 2001 to 2012. In this article, the data collected from the industries separately of shipping, plastic, LED, architecture & construction and banking on the public stock market listed in the Taiwan Stock Exchange Corporation for empirical analysis. It was hoped through cross-industrial comparisons, it was available to delineate the practical influence on the stock prices of the corporations from different industries exerted by the fluctuation of oil prices. This study was conducted by using two major variables, namely the factors of the overall economic side (change rates of oil prices, market excess return, interest spreads and exchange rates) and the individual characteristics of corporations (volume, P/B ratios, revenue and earning ratios). The empirical results show that for those corporations viewing petroleum as important raw material, the changes happening to oil prices exerted significantly positive influence on stock prices. Other industries showed a remarkable variance because different models were set different models. The investment return on stocks were also affected by the characteristics of different corporations separately.
