本研究選取美國16 種分類股價指數報酬率，以探討系統性風險與油價敏感程度與美國各產業股價指數間之關聯性，並進一步將大盤與油價之上漲與下跌期間加以區分，詳細分析其關連性。再者，各類股股價指數報酬對於油價波動之敏感程度是否因戰爭期間而有所差異，亦為本文所探討主題。研究期間自1989 年1 月至2008 年6 月。實證結果發現各產業之β 值隨時間之變動極大，尤其是近年來大環境變動加劇，各產業與大盤之連動性產生極大改變。而當美國股票市場為正報酬時，高β 產業比低β 產業來的佳，相反的，當股票市場為負報酬時，高β 產業可能會遭受較多損失。整體油價對股市呈現負向關係，食品業、運輸業及汽車業等呈現單方面顯著影響的情形，化學產業、人工製品、機械設備及公用事業則對石油報酬的漲跌毫無關連，而石油產業與採礦業則維持正向影響關係，即石油價格之漲跌與股價報酬成正向關係。油價下跌時所造成之衝擊較為顯著，顯見其影響的不對稱性。最後，戰爭期間會使得石油價格對股價指數報酬之敏感性增加。 We investigated the relationship between systematic risk and 16 American classified stock index returns in the presence of oil sensitivity. We further examined the relationship when the American stock market and oil market are in both up and down modes. The influence of The Persian Gulf War I on classified stock indices in the presence of oil sensitivity was also studied. The study period was from January 1989 to June 2008. The results showed there were large fluctuation in beta risk for classified stock indices, especially during recent period of enormous change in the global condition . When the stock market was up, the classified stock index returns with high beta value performed better than those with low beta value. But they were more severe affected when the classified stock returns were negative. Most classified stock index returns were negatively associated with oil price. But those of chemical product, fabric product, machinery and utility industries were not associated with oil price. The drop of oil price was obviously affected most classified stock index returns than the rise oil price. It showed the asymmetric phenomenon. Finally the classified stock index returns had high oil price sensitivity during wartime.
