由於燃油成本為航空業營運成本的最大宗，原油價格的變動常牽動著公司績效與股價，故本研究欲探討國際原油價格對航空業股價之影響，再者由於過往文獻多探討兩者之線性影響，而部分探討非線性影響者卻又為跳躍式的非線性影響，本研究認為跳躍式的非線性影響不合常理，因而運用Granger and Teräsvirta（1993）與Teräsvirta（1994）之平滑移轉迴歸模型，以布蘭特原油期貨價格為平滑移轉門檻變數，探討布蘭特原油期貨價格對台灣兩大國籍航空公司-中華航空及長榮航空公司之股價是否存在平滑移轉效果，並加入其他解釋變數，如西德州原油期貨價格、匯率及利率等，作為控制變數。 實證結果顯示，以華航公司股價為被解釋變數的模型為『指數型平滑移轉函數』（LSTR）。當布蘭特期貨價格於88.9538美元/桶前後對華航公司股價之影響顯著由正轉負。而西德州原油期貨價格與基準利率對華航公司股價之影響在布蘭特原油期貨價格為88.9538美元/桶前後，顯著由負轉正。最後，美元及人民幣兌新台幣匯率在布蘭特原油期貨價格為88.9538美元/桶前後，皆分別對華航公司股價呈現顯著正相關及負相關。接著在長榮航公司股價之LSTR模型分析中發現，布蘭特原油期貨價格在90.8465美元/桶前後對長榮航公司股價之影響顯著由正轉負。另外，布蘭特原油期貨價格在90.8465美元/桶前後，西德州原油期貨價格與基準利率對長榮航公司股價之影響顯著由負轉正。最後，美元及人民幣兌新台幣匯率在布蘭特原油期貨價格為90.8465美元/桶前後，皆分別對長榮航公司股價呈現顯著正相關及負相關。 The study takes an insight into the non-linear impact of crude oil futures price on China Airlines and EVA AIR with smooth transition model (STR) provided by Granger and Teräsvirta (1993) and Teräsvirta (1994). Further, the study establishes two logistical smooth transition regression (LSTR) with two dependent variables – the stock price of China Airlines (CA) and EVA AIR (EVA), called model CA and model EVA. In both models, Crude Oil Brent futures price is a major independent variable and also used as a transition variable. Other independent variables are used as control variables, including WTI, basic interest rate, and two forex variables, USD/TWD and CNY/TWD. The results indicate that the two smooth transition threshold are 88.9538 USD per barrel in the model CA and 90.8465 USD per barrel in the model EVA. Brent has a positive impact on the CA and EVA below the threshold, and becomes negative above the threshold. WTI and basic interest rate have negative impacts on the CA and EVA below the threshold, and become positive above the threshold. Finally, USD and CNY have different impacts on the dependent variables. USD/TWD has a positive impact on CA and EVA around the threshold, but CNY/TWD has a negative impact on CA and EVA around the threshold.
