原油價格對台股指數影響

Abstract

本研究計畫的目的在於探討油價是否對股市有不對稱影響。我們先以半結構性自我向量迴歸(semi-structural var) 模型認定出外生性的結構性原油供給衝擊、原油需求衝擊及投機性需求衝擊。然後將其各分解成增加衝擊和減少衝擊,藉以進一步探討造成油價變動的各種衝擊是否對股票市場有不對稱的影響。亦即油價上漲對股價有顯著影響, 而油價下跌卻對股價沒有顯著影響。或者油價上漲對股價沒有顯著影響, 而油價下跌卻對股價有顯著影響。

The purpose of this paper is to investigate whether oil prices have an asymmetric impact on the stock market. First,we use semi-structured self SVAR (semi-structural var) model to identify endogenous structural crude oil supply shock, oil demand and speculative demand shocks. Then we separate each shocks into increase and decrease parts to discuss whether the shocks of oil prices changes will cause asymmetric influence on the stock market. It means that there is significant influence on stock price as oil prices rise and no significant influence as oil prices fall. Otherwise, there is no significant influence on stock price as oil prices rise and significant influence as oil prices fall.