標題: 油價波動對臺灣航運公司股價之影響
The Impact of Oil Price Shocks on Stock Returns of Transportation Industry in Taiwan
作者: 陳佩如
Chen, Pei-Ju
蔡璧徽
Tsai, Bi-Huei
管理學院管理科學學程
關鍵字: 油價;事件研究法;從眾效應;Oil Price;Herding Behavior;Event Study
公開日期: 2015
摘要: 本研究藉由蒐集油價漲跌之資料與油價漲跌期間航運股股價報酬率之影響,以闡述投資人之從眾行為,及探討投資人在接收到油價漲跌資訊時所作之決策,是否有過度樂觀反應。本文選取2010年1月至2014年12月之日資料,利用事件研究法,以國際原油北海布蘭特、西德州、杜拜三者之平均價格較前一日上漲4%以上為油價上漲之事件日;下跌4%以上為油價下跌之事件日。
本研究發現航運股於油價下跌事件日有顯著之正超額報酬,表示油價下跌之市場反應速度快,投資人預期油價下跌航運股成本將下降,預期航運股獲利會提升,因此,在油價下跌當日,投資人預期油價下跌對航運股為好消息。而航運股於油價上漲事件日無顯著之負超額報酬,投資人認為航運產業之需求彈性小,替代品少;消費者不會因油價上漲而不消費,油價上漲不致使公司獲利減少。因此在油價上漲當日,投資人不預期油價上漲對航運股為壞消息。
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
顯示於類別:畢業論文