English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 49521/84657 (58%)
造訪人次 : 7602809      線上人數 : 76
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/32477


    題名: 原油與天然氣價格互動及訊息傳遞分析
    其他題名: Information transmission and market interactions between the crude oil and natural gas market.
    作者: 蕭琪蓉;Hsiao, Chi-jung
    貢獻者: 淡江大學經濟學系碩士班
    萬哲鈺;Wan, Jer-yuh
    關鍵詞: 原油;天然氣;共整合;波動外溢;價格領導;price discovery;Volatility;Leverage Effect;EGARCH
    日期: 2009
    上傳時間: 2010-01-11 02:12:34 (UTC+8)
    摘要: 本文利用三種計量模型分析英美兩國原油和天然氣市場間的訊息傳遞及價格的互動模式。為了避免非同步交易而產生的偏誤,因此本文採用兩套數據作為分析。在修正完非同步交易的問題後,共整合模型指出英美兩國的原油與天然氣均被共同基本面因子所牽引且具有長期的共整合關係。由Hasbrouck訊息比例模型可發現,原油較天然氣具有領導的地位,其中又以英國原油領導其他三者(包括美國原油期貨、英國天然氣期貨以及美國天然氣期貨)。此外在EGARCH模型中也不難看出英美兩國油氣間的互動關係極為密切,且波動外溢的不對稱效果指出英國原油期貨市場則存在與傳統股票市場相同之「槓桿效果」,亦即負衝擊造成的波動增加較正衝擊時為大。
    This paper studies the international information transmission and market interactions in the U.S. and U.K. between crude oil markets and natural gas markets. Three well documented approaches are used to measure the relative importance on the process of price discovery under quadvariate system. To circumvent the effects of the nonsynchronous prices, we adopt two sets of data. After adjusting the effects of nonsynchronous trading prices, robust results indicate our system that includes crude oil futures prices and natural gas futures prices within the two countries are driven by one common factor. The Hasbrouck model indicates crude oil markets has price leadership than natural gas markets, and the U.K. crude oil futures market dominates as the center for price discovery. The EGARCH model also indicates crude oil markets and natural gas markets have close relationships, and volatility in the U.K. crude oil futures market increases with negative returns which is similar with the volatility changes in the stock market.
    顯示於類別:[經濟學系暨研究所] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    0KbUnknown370檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋