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    Title: 原油現貨、期貨與相關性產業之連動關係
    Other Titles: The correlation between crude oil stock, future and related industry
    Authors: 紀慧君;Chi, Hui-chun
    Contributors: 淡江大學財務金融學系碩士在職專班
    邱建良;Chiu, Chien-liang;鄭婉秀;Cheng, Wan-hsiu
    Keywords: 原油;厚尾分配;跳躍;波動;Crude oil;Heavy tail distribution;Jump;Volatility
    Date: 2007
    Issue Date: 2010-01-11 00:53:44 (UTC+8)
    Abstract: 本文研究以厚尾分配之 ARJI 模型探討原油現貨、原油期貨與原油相關產業股價指數之波動性,進一步採用 Bai and Perron (1998) 區分結構轉折點,以原油現貨為基準點,分析波動性於上漲前後的差異性及原油現貨、原油期貨及原油相關產業股價指數之間波動相關性。最後,選取樣本期間內之重大事件,探討事件期間之跳躍頻率、跳躍機率。結果發現,當原油現貨、原油期貨及原油相關產業股價指數在上漲後,其平均跳躍頻率與平均跳躍機率都較小。在重大事件的衝擊影響方面,美國 911 事件之衝擊最為強烈。在 Pearson 相關檢定顯示波動性在現貨、期貨與指數間成反向關係。
    This paper adopts heavy tail distribution to discuss the volatility of crude oil stock、future and crude oil related industry stock price index. Further, I adopt Bai and Perron (1998) model, divided structure transition, using the crude oil stock as a benchmark and analyze the discrepancy between the volatility of before-rise and after-rise and volatility correlation between the crude oil stock, future and crude oil related industry stock price index. Finally, I select the vast events in the period of sample, discussing the DV and JP during events. Besides, after the crude oil stock, future and crude oil related industry stock price’s index rise, the average DV and JP are smaller. In the aspect of huge influence of heavy events, 911 is the roughest one. Pearson interaction test shows the reverse relationship between the volatility of future, stock and index.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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