國際油價波動下美股對臺股的非線性平滑移轉關係探討

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Title:	國際油價波動下美股對臺股的非線性平滑移轉關係探討
Other Titles:	Analysis of the non-linear smooth transition effect of the U.S. stock price on Taiwan stock price by oil price
Authors:	鄭鳳媚;Jeng, Feng-mei
Contributors:	淡江大學財務金融學系碩士在職專班聶建中;Nieh, Chieh-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:	2010
Issue Date:	2010-09-23 15:24:44 (UTC+8)
Abstract:	本研究之目的探討美國股價對台灣股價受原油價格波動影響是否存在某一關係，並藉由Granger and Terasvirta（1993）和 Terasvirta（1994）所發展之STAR（smooth transition autoregression）模型進行實證研究。研究資料為NASDAQ美國股價指數波動、WTI西德州原油價格與台灣加權股價指數，範圍期間為自2005年1月1日起至2009年12月31日止的日資料。從實證結果首先發現美國股價對台灣股價的影響，受9天前油價波動而呈現非線性之關係最為顯著，且WTI西德州原油價格波動率與美國股市對台灣股市影響存在一門檻值。實證結果得此門檻值為0.001834，即當油價波動率處於0.18%附近時，台灣股價指數報酬率受美國股價指數報酬率影響最深，且呈現正相關。若油價波動率遠高於或遠低於此門檻值時，台灣股價指數報酬率受美國股價指數報酬率影響漸小。 The purpose of this study is to investigate the effect of the U.S. stock price return on the Taiwan stock price return by the crude oil price fluctuations. Utilizing the Smooth Transition Regression Model developed by Granger and Terasvirta (1993) and Terasvirta (1994). Research data for the NASDAQ index of U.S. stock prices return, WTI West Texas crude oil prices fluctuations and the Taiwan Weighted Stock Index return, ranging from 1 January 2005 until 31 December 2009 ended. According to the empirical results, the impact of the United States stock return on the Taiwan stock return by the WTI West Texas crude oil price volatility of nine days ago got the most significant non-linear relationship, and the WTI West Texas crude oil price volatility exists a threshold value which is 0.001834, that is, when the oil price volatility in the vicinity of 0.18%, the affect of the U.S. stock index returns on the Taiwan stock index returns is most significant and positive. If the oil price volatility much higher or much lower than this threshold value, the affect of the U.S. stock index returns on the Taiwan stock index returns is gradually smaller.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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