| 摘要: | 本研究旨在探討油價變動對運輸業類股指數報酬的影響，以美國、加拿大、日本、義大利、英國、法國、德國等七個高所得國家為例。文中採用1996年1月1日至2016年6月30日之美國西德州中級原油期貨價格、各國運輸業類股指數、各國大盤指數、各國貨幣兌美元匯率，以及各國國債利率差的日資料進行實證分析。首先採用Bai and Perron (1998, 2003)提出之結構轉變模型，確定是否存在結構轉變的狀況，再利用Koenker and Bassett (1978)所提出之分量迴歸模型來檢視油價變動在經歷結構轉變後，運輸業類股指數報酬所受到之影響。 實證結果發現：一、油價上漲對美國、加拿大、義大利等國家之運輸業類股指數具負向顯著影響，但對日本、英國、法國、德國等國家運輸業類股指數之影響則不顯著。二、大盤指數對各國運輸業類股指數皆為正向影響，惟各區間效果強弱不一。三、在不同分量下，匯率變動對各國運輸業類股指數亦有不同的影響。
This research aims at discussing over the impacts of oil price volatility on transport sector stock index, and takes US, Canada, Japan, Italy, UK, France and Germany, the high-income countries as cases. The daily data, such as WTI futures prices from January 1, 1996 to June 30, 2016, transport indexes of each country, stock market index of each country, currency against US dollar of each country as well as bond spreads of each country are applied in our empirical analysis. This study firstly employed Structure Change Model proposed by Bai and Perron (1998, 2003) to confirm whether there are structural changes. Furthermore, quantile regression model maintained by Koenker and Bassett (1978) is used to find the impacts of oil price volatility going through structural changes on the transport sector stock index. The empirical results showed that: 1. Oil price rise has exerted negative effects on the transport sector index of US, Canada, Italy and other countries, but it plays little part in the transport sector index of Japan, UK, France and Germany. 2. Stock market index has positive effects on the transport sector index of each country while the effects vary from each other. 3. Under different quantiles, the exchange rate change exerts different effects on transport sector index of each country. |
