| 摘要: | 本研究旨在探討金融海嘯發生前後，國際油價變動對臺灣各類股指數報酬之影響，依據Tsai (2015)一文，將樣本期間(2001年1月1日至2012年12月31日)分為金融海嘯發生之前、期間及後期，在實證中採用美國西德州中級原油現貨月平均價格、臺灣集中市場加權指數(以下簡稱大盤指數)、臺灣各產業類股指數、新台幣兌美元匯率及郵匯局定期存款利率月資料，利用Koenker and Bassett(1978)提出之分量迴歸模型為基礎來檢視原油價格變動對各類股指數報酬之影響。 實證結果顯示：第一、金融海嘯危機發生前期、期間和後期的油價漲跌皆影響股票報酬率。第二、產業部分，金融海嘯危機發生前，原油價格變動對食品工業、塑膠工業、紡織纖維、觀光事業及金融保險股價報酬具顯著正向影響，但對電子類股影響則為負。在金融海嘯期間，原油價格變動正向顯著影響電子類股價報酬，顯著負向影響另五個產業股價表現。後期，原油價格顯著正向影響塑膠工業、電子類股價表現；顯著負向影響另三個產業股價表現，紡織纖維則呈現不顯著。第三、大盤指數報酬率、匯價變動及長短期利差變數皆對此六個產業類股股價有影響。
This thesis investigates the impact on the return of Taiwan Stock Indexes due to international oil prices variation for financial crisis in 2008. According to Tsai (2015)'s research during Jan. 1, 2001 to Dec. 31, 2012, the daily historical data of the Light sweet crude oil in West Texas, Taiwan Capitalization Weighted Stock Index, Taiwan Sector Indexes, the historical exchange rate for US to Taiwan Dollars, and the monthly fixed deposit interest rate in post office are adopted to observe the impact on the return of Taiwan Stock Indexes due to international oil prices variation based on the quantile regression model proposed by Koenker and Bassett(1978). These research first show that oil prices variation indeed causes the stock return during the financial crisis. Next, there exist a statistical positive impact on the return of food, plastic, textile fiber, tourist industries, and financial insurance for the oil prices variation before financial crisis. However, during the financial crisis, the return in Taiwan Electronics Sector Index exhibits a positive influence while the stock prices in other five industries show a negative influence. Moreover, after the financial crisis, the returns of plastic industry and electronics sector indexes, other three industries, and textile fiber are positive, negative, and insignificant, respectively. Finally, the return in Taiwan Stock Index, exchange rate variation, interest rates spread are significant to other six industries sector indexes. |
