能源對於經濟活動過程扮演著重要的角色。高油價不僅對全球經濟造成重大影響，甚至造成全球的糧食問題、金融市場問題，有關石油相關產業動態受到各方矚目，其獲利因素更是大家所關注。 本研究以1991年5月至2008年2月於美國紐約證券交易所上市之油氣公司為研究對象，以Sharpe所提出之資本資產訂價模型為基礎及縱橫資料模型分析法進行實證研究，探討原油期貨價格、天然氣期貨價格、利差、市場因子、本益比及市值與油氣公司股價之相關性。實證結果發現：油氣價格變動、市場超額報酬、利差變動、市值變動及本益比變動對油氣公司之股價報酬皆有顯著之影響。其中，油價因子、氣價因子、市值變動及本益比變動因子對股價報酬有顯著之正向關係。而利差變動因子則對股價報酬有顯著負向關係。而縱橫資料模型中之固定效果與隨機效果中則以隨機效果模型為最適。 The energy is playing an important role to the economic activity course. The high oil price not merely causes great influence on global economy, but also on the global issues of food crisis and financial market turbulence. The petroleum relevant industry''s trends are then attracted much attention by public. The profit-making factor in petroleum industry is paid close attention by everybody even more.
This paper tried to investigate the relationship of stock price and its relevant variables for oil and gas companies. Those monthly data （1991/05~2008/05）of oil futures price, gas futures price, interest rate spread, market excess return and market value issued by New York Stock Exchange are collected. The price to earning ratio (p/e ratio) and the factor used by Capital Asset Pricing Model（CAPM）from Sharpe is considered also. This paper uses panel data model to implement our analysis.
It is found that the change of the price of oil gas, market excess return, market value and the change of p/e ratio all have apparent influence on the stock price remuneration for the oil gas company. Oil return, gas return, market excess return, change of the market value, and the change of the p/e ratio also have significantly positive impacts on the oil and gas stock excess returns, while, interest rate factor has significantly negative impact oil and gas stock excess returns. Furthermore, we found the random effect model is more suitable in the panel data model.