近年來原油供需與價格變動深切地影響整個經濟體系，原油價格劇幅波動，對各產業而言，將會直接或間接影響營運成本，造成企業獲利能力降低，進而影響股價表現，但油氣產業則有可能從中獲利。因此，本研究擬探討國際油價變動對不同產業股價報酬之影響。 本研究以1995年1月至2010年2月於美國紐約證券交易所上市之公司為研究對象，透過跨產業的比較分析，以釐清油價變動對各產業實際的影響。以Sharpe所提出的資本資產定價模型為基礎及縱橫資料模型分析法進行實證研究，探討原油期貨價格、利差、市場因子、市值與淨值市價比與公司股價之關連性。實證結果發現：油價變動對於油氣產業、礦業之股價報酬皆有顯著之正向影響，運輸業、銀行業與替代能源產業為顯著負向影響，而電腦設備業則對油價變動較無影響。市場超額報酬、市值變動率與淨值市價比皆對於各產業之股價報酬有顯著之正向關係。而利差變動對於油氣產業及礦業之股價報酬有顯著之負向關係。進一步區分規模大與小，皆顯示在面對油價變動時，規模大相較於規模小之公司，其股價報酬受油價變動影響較小。 High oil price and its volatility have a great effect on the economy in recent years. The fluctuation of crude oil price even influences the profitability, operation cost and the stock price of industries. Therefore, we investigate the relationship between oil price change and stock returns by analyzing different industries. This paper tried to indentify the true effect of crude oil price and other relevant variables, such as interest rate spread, market excess return, market value and B/M ratio on the economy by cross-industrial comparison research. The monthly data begin from January, 1995 and end in February, 2010. Samples are selected from companies listed in New York Stock Exchange. This paper also adopts the Capital Asset Pricing Model from Sharpe and panel data methods to implement our empirical analysis. Our findings indicate that oil price changes have a positive impact on the stock excess returns for the oil and gas and mining industries. In addition to this, oil price changes have significant negative impacts on transportation, alternative energy and banks industries. But the computer equipment industry doesn't associate with oil price changes. Market excess return, change of the market value, and B/M ratio also have significantly positive impacts on the industries stock excess returns, while the interest rate spread factor has significantly negative impact on oil and gas and mining industries' stock excess returns. Furthermore, we divide firms into small and large-sized groups. The empirical results show that relative to large firms, oil price changes have larger impacts on the stock excess returns of small firms.
