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Title: 油價及匯率對台灣各類股票指數市場之相關性探討
The Relationship of Oil Price and Exchange with All Individual Taiwan Industrial Group Stock Indic
Authors: 王正權
Cheng-Chuan Wang
Contributors: 廖世仁
Shih-Jen Liao
金融與風險管理所
Keywords: 油價;匯率;台灣產業分類股價指數
oil price;exchangeIndustrial;Group Stock Indices
Date: 2009
Issue Date: 2011-05-24 13:23:56 (UTC+8)
Publisher: 高雄市:[樹德科技大學金融與風險管理所]
Abstract: 石油價格與匯率在金融市場中皆扮演著重要的角色,本研究為探討兩者與台灣股票市場各類股票指數之關聯性。因股票指數的樣本分配特性,本研究以TGARCH模型做為分析工具,研究期間選自1995 年1 月5 日至2008 年12 月31日。實證結果摘要如下:
1. 石油價格與匯率之間相互產生外溢效果。
2. 石油價格的波動會影響食品工業股指數、橡膠工業股指數、汽車股指數、 觀光股指
數、金融股指數以及貿易百貨股指數,皆為負相關。
3. 匯率的波動會影響塑膠、電機機械、鋼鐵工業、汽車以及金融類股,皆為正相關;亦
會影響光觀業,為負相關。
Oil price and exchange are important factors in financial markets. This study researches into the relation between both of them and the stock market in Taiwan.Because of special distribution of the samples from Index, this study use TGARCH model to analyze samples. The samples are collected from January 5th, 1995 to December 31st, 2007.
The empirical results indicate the following conclusions:
1. Oil price and exchange have the Volatility Spillover Effects to
each other.
2. The fluctuation of oil price has negative correlation with the
Food Industry Stock Index, the Rubber Industry Stock Index, the
Automobile Stock Index, the Tourism Stock Index, the Finance
Stock Index as well as the Trading of General Merchandise Stock
Index.
3. The fluctuation of exchange has positive correlation with the
Revertex Industry Stock Index, the Electrical Machinery Machine
Stock Index, the Steel Industry Stock Index, the Automobile Stock
Index as well as the Finance Stock Index. But, having negative
correlation with the Tourism Stock Index.
Appears in Collections:[金融與風險管理系(所)] 博碩士論文

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