影響我國太陽能產業發展之關聯性研究

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Title:	影響我國太陽能產業發展之關聯性研究
Other Titles:	A study on the development of Taiwan's solar energy industries
Authors:	呂佳謙;Lu, Chia-Chien
Contributors:	淡江大學財務金融學系碩士在職專班邱建良;Chiu, Chien-Liang;黃健銘;Huang, Chien-Ming
Keywords:	太陽能光電;綠色能源;GARCH模型;結構性改變;solar photovoltaic;Green energy;GARCH model;Structural change
Date:	2014
Issue Date:	2015-05-04 09:42:49 (UTC+8)
Abstract:	本論文旨在於調查近年政府對於太陽能光電產業所施行之相關政策，對於產業價值的影響，並進一步控制油價干擾因素後，針對政府2009年4月所推動之綠色能源產業旭昇方案，設立虛擬變數進行檢測。模型中亦引入美國三個月期國庫券利率與十年期公債殖利率進行估計。樣本資料取自於臺灣經濟新報資料庫系統（Taiwan Economic Journal, TEJ）與Datastream資料庫系統，並以臺灣證券交易所（Taiwan Stock Exchange, TSE）所編製之光電產業指數作為代理變數，研究樣本期間則涵蓋2007年7月2日至2014年5月7日。實證模型採用GARCH模型、GARCH-Dummy模型、GARCH-Jump-Dummy模型與GARCH-Jump-Dummy-ICSS模型，此外，為有效捕捉報酬序列可能存在多重結構改變點的問題，本論文採用ICSS方法進行結構點的檢測。結果顯示有10個結構性改變時點，且油價成長具有正向影響，本論文推論在油價成本高漲驅動下，帶動了市場尋求節能商品與新興能源的需求，進而推升光電產業的股價表現，再者，國內光電產業多為出口導向，故當美國公債利率上升時，將會推升美元升值壓力，如此將有利率出口成長。最後，當投資人進行投資決策時，客觀選定結構改變點將可有效提升模型配適能力。 This study aims to investigate the influence of government’s relevant policies on solar photovoltaic industry value in recent years and to set up a virtual variable to detect “Green New Deal” promoted by the government on Apr. 2009 after controlling interference factors of oil price. The interest rate of three months and ten years are also considered in empirical model. Sample data taken from Taiwan Economic Journal (TEJ) and Datastream database system and photovoltaic industry index compiled by Taiwan Stock Exchange (TSE) to be used as proxy variables. The period for sample was from July 2, 2007 to May 7, 2014. This study adopts the different models as GARCH model, GARCH-Dummy model, GARCH-Jump-Dummy model and GARCH-Jump-Dummy-ICSS model. In addition, to effectively capture the problem of change point in multiple-structure that may be existed in sequence of returns, this study uses ICSS method to examine break points. The results indicate ten structural change points and the growth of oil price has positive influence. It states that the increase in oil price will drive the market to seek for energy saving products and the demand of emerging energy. This pushes the performance of share price in photovoltaic industry. Furthermore, because domestic photovoltaic industry is mostly export orientation, the pressure of US dollar appreciation will be risen when U.S. government bond yield increases, and promote export growth in solar photovoltaic industry. Consequently, investors conducting investment decision-making should consider the influence of structural changes on model fitting.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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