石油在人類的生活與經濟活動中向來扮演著極為重要的角色，油價變動將會直接地影響相關產業原物料成本之上漲或下跌，對於依賴石油進口甚深的臺灣影響極大。 過去研究探討油價變動與股價關係，大多以線性關係作為其基本假設，而本研究將異於昔日文獻之研究，以非線性之GJR-GARCH模型，來驗證油價變動時，對臺灣相關類股股價指數是否存在著報酬不對稱性之現象。此外，本研究亦加入大盤加權股價指數及工業生產指數於模型中，以期能使模型之估計更加完整、精確。 實證結果證實各相關類股股價指數報酬均會受到本身遞延期數之影響，其股價之報酬在經過一期後，即可由本身的報酬衝擊反應出來，油價之變動對塑膠類股、紡織類股、電子類股與鋼鐵類股之報酬有顯著的影響，但對電器電纜類股及運輸類股之影響則較不顯著，且油價變動對相關類股股價指數報酬有顯著的不對稱性存在，其中以電子類股之持續性最為強烈。 Oil has been always played the great importance role in our daily life and the fluctuation of its price directly affect the cost of raw materials, especially for countries which are heavily dependent on the import of oil, such as Taiwan. The purposes of this study are different from the past research literature by using the nonlinear GJR-GARCH model, in contrast to the linear model, to verify the asymmetric effect of the changes in oil prices on the Taiwan stock index-related stocks during the period of 1996-2008. In addition, the study also consider the market-weighted stock price index and industrial production index in the model, in an attempt to avoid the bias of omission of relevant variables which was not depicted in the earlier study. Empirical results show that relevant stock index returns are all affected by their own first lag values. Besides, the impacts of oil prices on the returns of the plastic stocks, textile stocks, electronics and steel sector stocks are significant while the impacts on the electrical cable stocks and transport sector are not significant. In general, oil price change has a significant asymmetrical effect on the stock returns, especially for the electronic sector.
