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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31489

    Title: 原油現貨對高敏感性原油相關產業之連動性影響
    Other Titles: Impacts of oil spot on the co-movements across oil sensitive industries
    Authors: 鄒易凭;Tzou, Yi-pin
    Contributors: 淡江大學財務金融學系碩士班
    李命志;Lee, Ming-chih
    Keywords: 原油敏感性原油產業;ARJI;厚尾分配;門檻;Oil sensitive oil industries;ARJI Model;heavy-tailed distribution;Threshold
    Date: 2007
    Issue Date: 2010-01-11 00:49:42 (UTC+8)
    Abstract: 原油價格的變動對於總體經濟有重大的影響,亦對其他的經濟體產生影響。且對於原油相關產業、高敏感性原油運輸產業、原油密集度高的製造業有更直接的影響。有鑑於此,本文了解原油現貨與高敏感性原油相關產業間的相關性,進一步探討原油現貨於高報酬及低報酬時間,敏感性產業之波動動態關係。
    The change of crude oil price has a great influence on all economies, also exert an influence on other economies. Other relevant industries, high oil sensitive transportation industries, and oil intensive manufacturing industries have more direct influences. In view of this, the fluctuation of crude oil spot price correlates with high oil sensitive industries, and integrates between high returns and low returns. In the oil price, the dynamic relation of sensitive industries. Empirical results show that the lower oil price has positive effects in prospecting industries. Airlines and transportation industries must constantly purchase oil for a long period of time in order to keep operating, hence they have already avoid the oil price volatility risk. High oil sensitive industries stock indices returns jump intensity and frequency are all time variant.
    In addition, applying impulse response function to examine high and low returns of oil spots, which indicates that Nasdaq transportation stock indices has an independent character. For this reason, oil sensitive industries and investors must consider oil price variation to relevant industries effect, in order to offer policymakers to make appropriate decisions.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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