| 摘要: | 本研究旨在討論原油ETF波動率指數(OVX)對臺灣類股指數報酬的影響，實證採用2008年1月1日至2019年12月31日之OVX、新臺幣兌美元匯率、臺灣類股指數、臺灣集中市場加權指數日資料，運用Koenker和Bassett(1978)所提出的分量迴歸模型來檢視OVX對臺灣各類股指數報酬的影響。 實證分析得知：一、以臺灣加權股價指數與塑化類股指數而言，各分量估計結果皆為顯著，表示OVX變動對其股票指數報酬率有負向顯著影響；金融、食品、觀光類股指數而言，除最高分量(0.95)外其餘各分量估計結果皆負向顯著，表示OVX變動對其股票指數報酬率多有負向影響；電子類股指數部分，除高分量(0.9)外，其餘各分量估計結果皆負向顯著，紡織類股指數部分，多數分量(0.05, 0.1, 0.25, 0.5, 0.75)結果皆顯著為負。二、衡量匯率變動的效果，大致而言，中高分量(0.5, 0.75, 0.9, 0.95)估計結果顯著為負，顯示匯率上升對各類股指數報酬率有負向影響。三、落後期報酬率的影響，各類股效果較為不一致，但大致為正。 然而油價不確定性程度上升時，對台股加權指數及各類股指數之報酬率之影響越大，油價不確定性程度下降對台股加權指數及各類股指數報酬之影響越小。
This study aims to discuss the effects of crude oil ETF volatility index (OVX) on Taiwan stock returns. The empirical study uses OVX, the exchange rate of New Taiwan dollars to US dollars, the related stock indexes in Taiwan, and Taiwan Capitalization Weighted Stock Index of the secondary market in Taiwan. The data are from January 1, 2008 to December 31, 2019, and the weight regression model proposed by Koenker and Bassett (1978) is used to examine the effects of OVX on the remuneration of the various related stock indexes in Taiwan. The empirical analysis shows the following results. First of all, as for Taiwan Capitalization Weighted Stock Index and plastic-related stock index, the estimated results of each component are all significant, which indicate the changes in OVX have negative and significant effects on the rates of remuneration stock indexes. The components of finance, food, and tourism-related stocks are all negatively significant except the highest component (0.95). It indicates that most OVX changes have negative effects on the s the rates of remuneration stock indexes. Besides, the components of electronic-related stock are all negatively significant except for the high component (0.9). Moreover, most of the components (0.05, 0.1, 0.25, 0.5, 0.75) of the textile-related stocks are significantly negative. Second, the analysis of the effects of exchange rate changes show that the estimated results of the medium and high components (0.5, 0.75, 0.9, 0.95) are significantly negative. It indicates that the increase in exchange rates has a negative effect on the remunerations of various related stock indexes. Lastly, the effect of the lagging rate of remunerations of various related stocks are relatively inconsistent, but it is roughly positive. However, when the uncertainty in oil prices increases, the greater the effect on the remunerations of Taiwan Capitalization Weighted Stock Index and various indexes of realated stock. On the other hand, the lower the degree of uncertainty in oil prices has less effects on the remunerations of Taiwan Capitalization Weighted Stock Index and various indexes of realated stock. |
