| 摘要: | 近年國際油價以2007年漲幅最為劇烈，帶動替代能源股成為熱門投資標的，本研究主要取國內替代能源相關類股資料編成一台灣替代能源指數，探討其與國際油價、匯率、台灣加權指數、道瓊工業指數、道瓊期指、那斯達克、七項世界能源相關指數之間的關係。另外，也取國際油價變動較小且只呈現區間震盪的2006年資料，以對照2007年之結果，突顯2007年在油價劇烈高漲影響下，台灣替代能源指數受其他指數的影響是否也更加劇烈。研究期間為2006年1月2日至2007年12月31日之日資料，資料分為2007年與2006年兩期，以向量自我迴歸模型（VAR）之Granger因果關係探討，並以Johansen共整合檢定是否必須再以誤差修正模型做探討。
研究結果發現：
1.2007年西德州原油、七項世界能源指數、道瓊工業指數、道瓊期指、那斯達克這十一項指數皆對台灣替代能源指數有Granger因果關係，是以這些指數的走勢有助於投資人投資台灣替代能源股票之參考價值，此外2006年西德州原油、MSCI世界能源、AMEX能源、NYSE能源、費城油業、AMEX石油這六項指數對台灣替代能源指數有Granger因果關係，且在2007年的影響較2006年顯著，此亦表示這些指數對台灣能源股之影響日增。
2.2006年西德州原油對台灣替代能源指數的影響較2007年稍微顯著，此現象我們可從實證數據發現，在替代能源越受關注下，國內投資人對替代能源類股之投資參考依據越重視美國股市及其他世界能源相關指數的動向，進而減弱了國際油價的影響。
In recent years, oil prices increase sharply in the year of 2007, alternative energy stocks are concerns as hot investment targets due to the rising prices of alternative energy stocks. This study investgates the relationships between Taiwan Alternative Energy (TAE) Index built by alternative energy stocks data in Taiwan and oil prices. In addition, the relationships between TAE Index with financial variables such as exchange rates, the Taiwan weighted Index, DJ Industrial Average Index, DJ Industrial Average Index Futures, Nasdaq, and seven world energy indices are investigated as well.
After employing the above financial data form 2006/1/2 to 2007/12/31, two important results are found as follows:
1.WTI crude oil, seven world energy indices, DJ Industrial Average Index, DJ Industrial Average Index Futures, and Nasdaq, the eleven indices Granger-cause TAE Index for the data of 2007. In 2006, WTI crude oil, MSCI World Energy, Energy Select Sector Index, NYSE Energy Sector Index, PHLX Oil Service Sector Index, and AMEX Oil Index, the six indices Granger-cause TAE Index. These informations will help investors to invest in TAE stocks as reference.
In addition, It shows that the impact of the above these indices strengthen gradually for TAE stocks, as evidences of the impact of 2007 is much higher than that of 2006.
2.The impact WTI crude oil to TAE Index in 2006 is slightly quite significant, as compared with the impact of 2007. This phenomenon shows while the more the alternative energy is concerned, the more the trends of U.S. stock market and other energy-related indices of world are important. Therefore, it might weaken the impact of the oil prices in Taiwan. |
