國際原油價格及台灣各類股股價之關聯性分析

Abstract

透過單根檢定與共整合檢定的結果，本研究決定以VAR(向量自我迴歸模型)來探討油價的波動是否會對我國股票市場九大類股帶來衝擊，而九大類股包括加權指數 (Y999)、水泥窯業(Y1100)、食品類(Y1200)、塑膠化工(Y1300)、紡織(Y1400)、機電類(Y1600)、造紙類(Y1900)、營建(Y2500)、金融類(Y2800)；石油價格取三大原油(中東杜拜原油、美國的西德州原油、以及北海的布蘭特原油)之平均價格，形成一個新的變數來進行分析，所有變數資料皆為日資料。

透過VAR(19)模型進行分析，研究結果顯示三大原油平均價格之波動對於加權指數、水泥窯業、食品類、塑膠化工、紡織、機電類、造紙類、營建、金融類均沒有顯著的衝擊影響；而Granger因果分析結果也呼應原油平均價格變數與九大類股均沒有領先落後的關係，也就是說油價短期波動對於股票市場並不會造成衝擊，可供管理當局及投資者作為參考。

另外Granger因果分析也顯示水泥窯業與機電類對其它類股均有領先的關係，其中水泥窯業更是除了與造紙類沒有雙向回饋的關係外，與其它類股均有雙向回饋關係。而造紙類對其它類股均沒有領先關係，但造紙類均落後其他類股。具有股市代表性的四大類股(加權指數、塑化類、機電類、金融類)除了塑化類外，對於其它大部分類股有領先關係。

This research applies VAR (Vector Autoregression) models to examine the influence of oil prices on stock price industrial sub-indices in Taiwan. Stock price industrial sub-indices include the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), cement, food, plastic & chemical, textile, electric machinery, paper, construction, and financial sub-indices. The crude oil price in this paper is an average of daily WTI, BRENT, and DUBAI oil prices. The sample period is from 2000 to 2006. The unit root test and cointegration tests show that the VAR model should be applied to analyze the effects of oil prices on stock price industrial sub-indices in Taiwan. The VAR(19) model indicates that the oil price does not significantly influence stock price industrial sub-indices. Granger causilty results also indicate that crude oil price has no lead-lag relationship. Oil prices do not have significant short-run influences on stock price industrial sub-indices in Taiwan. Johansen cointegration tests show that crude oil prices and stock price industrial sub-indices have no long-run equilibrium relationship. Cement and electric machinery sub-indices Granger cause other sub-indices. Especially, the cement sub-index has two-way Granger causlitiy relationships with other sub-indices except the paper sub-index. Paper sub-index does not Granger cause any other sub-indez, but is Granger cuased by all other sub-indices. Most sub-indices have a lag relationship with TAIEX, electric machinery, and financial sub-indices.