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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31719

    Title: 石油價格對亞洲四小龍股市非線性之影響關係探討
    Authors: 涂柔卉;Tu, Jou-hui
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;Neih, Chien-chung
    Keywords: 石油價格;股價指數報酬;平滑移轉迴歸模型;Oil Price;stock return;Smooth Transition Auto Regression
    Date: 2009
    Issue Date: 2010-01-11 01:10:30 (UTC+8)
    Abstract: 石油在人類生活與經濟活動中向來扮演極重要的角色,其價格波動將影響一國的經濟發展,而股價指數又是直接反應經濟景氣好壞的領先綜合指標,故石油價格波動對股價指數的影響,一直為眾人關注的焦點。
    Petroleum has always been playing a heavy role in the everyday life and the economic activities of the human society. The oil price fluctuations affect greatly on a country''s economy development. As a leading indicator of the growth of an economic, stock market index and its relationship with the oil price fluctuation has been the center of attention for people who wish to understand the reason behind the growth of an economy.
    Over the past, studies on the impact of the oil price fluctuation on stock market index performance usually explore the subject on the linear relationship between the two. Hardly any study investigates the nonlinear relationship. This Study utilize the Smooth Transition Regression Mode to analyze the nonlinear impact of the oil price on the stock market of the East Asian Four Tigers-Taiwan, Singapore, Hong Kong and Korea for their similar economic development background and the continues growth of GDP per capita from January 1988 to June 2008.
    It is evident that there was a nonlinear impact of the oil price fluctuation on the stock market performance of East Asian Four Tigers-Taiwan, Singapore, Hong Kong and Korea with significant threshold. When oil prices are high, the fluctuation of the oil price and the rate of return on stock index have a negative correlation; when oil prices are low, the fluctuation of the oil price and the rate of return on stock index has a positive correlation. Among them, the Singapore stock market has the quickest respond to the oil price fluctuation, the South Korea stock price index needs much longer period to completely reflect the impact of the effect of the oil prices fluctuation.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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