标题: 油价波动对台湾航运公司股价之影响
The Impact of Oil Price Shocks on Stock Returns of Transportation Industry in Taiwan
作者: 陈佩如
Chen, Pei-Ju
蔡璧徽
Tsai, Bi-Huei
管理学院管理科学学程
关键字: 油价;事件研究法;从众效应;Oil Price;Herding Behavior;Event Study
公开日期: 2015
摘要: 本研究藉由搜集油价涨跌之资料与油价涨跌期间航运股股价报酬率之影响,以阐述投资人之从众行为,及探讨投资人在接收到油价涨跌资讯时所作之决策,是否有过度乐观反应。本文选取2010年1月至2014年12月之日资料,利用事件研究法,以国际原油北海布兰特、西德州、杜拜三者之平均价格较前一日上涨4%以上为油价上涨之事件日;下跌4%以上为油价下跌之事件日。
本研究发现航运股于油价下跌事件日有显着之正超额报酬,表示油价下跌之市场反应速度快,投资人预期油价下跌航运股成本将下降,预期航运股获利会提升,因此,在油价下跌当日,投资人预期油价下跌对航运股为好消息。而航运股于油价上涨事件日无显着之负超额报酬,投资人认为航运产业之需求弹性小,替代品少;消费者不会因油价上涨而不消费,油价上涨不致使公司获利减少。因此在油价上涨当日,投资人不预期油价上涨对航运股为坏消息。
This paper examines the impact of crude oil price shocks on stock returns of transportation industry in Taiwan. By using daily data on average prices of crude oil WTI、Brent、Dubai and Amman from the beginning of January 2010 to the end of December 2014, we identify large changes of an event when the daily oil prices increases (decreases) by at least 4%. We compute abnormal returns for 13 transportation companies at the time of the oil price change using the event study methodology. When oil prices decreases, the abnormal returns of transportation companies increase. When oil prices increases, there is no significant impact on the abnormal returns of transportation companies.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT070263130
http://hdl.handle.net/11536/126134
显示于类别:Thesis