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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/32472

    Title: 國際油氣公司股票報酬之探討 : 分量迴歸分析之應用
    Other Titles: The study for stock returns of the international oil and gas company : an application of quantile analysis
    Authors: 彭筱晴;Peng, Hsiao-ching
    Contributors: 淡江大學經濟學系碩士班
    廖惠珠;Liao, Huei-chu
    Keywords: 分量迴歸;半母數;油氣公司;Quantile Regression;Semi-parametric;Oil and Gas Compan
    Date: 2007
    Issue Date: 2010-01-11 02:12:01 (UTC+8)
    Abstract: 近年由於高油價與溫室效應問題,使得全世界意識到能源危機的議題。隨著國際油價大漲,有關石油產業動態受到各方矚目,其獲利情形更是焦點所在。
    The problem of high oil price and global warming in recent years, moved people concern about the issue of energy crisis in the world. According to the increasing of oil price, the performance for oil and gas companies will become an important role in study.
    This paper tried to investigate the relationship of stock price for oil and gas companies issued monthly data (1994-2006) in New York Stock Exchange and the factors of interest rate, oil price, gas price and market used by Capital Asset Pricing Model(CAPM) from Sharpe and quantile analysis form Koenker . Finally find that the signs of all coefficients for each quantile are significant and generally consistent to what we had expected. Oil return, gas return and market excess return have significantly positive impacts on the oil and gas sock excess returns. The higher quantile ,oil return will have smaller impact and gas return will have bigger impact. Interest rate factor have significantly negative impact on oil and gas stock excess returns, especially in 25% to 90% quantile, the results are identical in parametric and semi-parametric quantile analysis, but in 10% quantile, the results are only significantly in semi-parametric quantile anlysis. Another finding in term premium is in 90% quantile, the impact is larger.
    Appears in Collections:[經濟學系暨研究所] 學位論文

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