燃油成本在航空產業的營運成本裡占了不小的比例，過去文獻得到的實證結果顯示航空公司的獲利明顯地受到國際原油價格波動的影響，從而影響航空產業股票價格。各研究者使用的影響變數不盡相同，本研究認為景氣好壞亦對於航空產業的營收也存在相當比例之影響。同樣的班機在景氣不同的情況下，載客率也不相同，一樣的成本營收卻不同，故本文納入景氣指標以控制其對被解釋變數之影響。 本研究利用平滑移轉迴歸模型，並以布蘭特原油現貨價格做為平滑移轉門檻變數，其他控制變數包含為杜拜原油現貨價格及外銷訂單指數，探討布蘭特原油現貨價格分別對華航公司股價及長榮航公司股價之非線性影響。 實證結果顯示，華航公司股價及長榮航公司股價的門檻值分別為布蘭特原油現貨價格82.5384美元/桶及79.8286美元/桶，當布蘭特原油現貨價格變動時，兩公司之股價在各別門檻值上下呈現非對稱之情況，各解釋變數對被解釋變數呈現不同的影響關係。 布蘭特原油現貨價格在門檻值82.5384美元/桶前後，布蘭特原油現貨價格對於華航公司股價之影響均呈現顯著負相關；杜拜原油現貨價格對於華航公司股價之影響由無顯著相關轉為顯著負相關；外銷訂單指數由顯著正相關轉為顯著負相關；美元兌新台幣之匯率對於華航公司股價之影響均為無顯著相關。 布蘭特原油現貨價格在門檻值79.8286美元/桶前後，布蘭特原油現貨價格對於長榮航公司股價之影響由無顯著相關轉為顯著負相關；杜拜原油現貨價格對於長榮航公司股價之影響由無顯著相關轉為顯著負相關；外銷訂單指數對於長榮航公司股價之影響由顯著正相關轉為為顯著負相關；美元兌新台幣之匯率對於長榮航公司股價之影響均為無顯著相關。 The study takes an insight into the non-linear impact of crude oil spot price on China Airlines and EVA Airlines 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 Airlines (EVA), called model CA and model EVA. In both models, Crude Oil Brent spot price is a major independent variable and also used as a transition variable. Other independent variables are used as control variables, including Crude Oil Dubai price, Index of Export Orders, and exchange rate, USD/TWD. The results indicate that the two smooth transition threshold are 82.5384 USD per barrel in the model CA and 79.8286 USD per barrel in the model EVA. Brent has a significantly negative impact on the CA and EVA above the threshold. The same outcome can be seen on Crude Oil Dubai price, which have significantly negative impacts on the CA and EVA above the threshold. Furthermore, Index of Export Orders has a significantly positive impact on the CA and EVA below the threshold, and becomes negative above the threshold. Finally, USD/TWD have an insignificant impacts on two dependent variables.
