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標題: | 玉米價格波動對美國生質酒精廠商股票報酬之影響--2005年能源政策法案發布前後之實證分析 The Relationship among Prices of Bioethanol Stocks and Crops-- An Empirical Analysis of Impacts of 2005 U.S. Energy Policy Act |
作者: | Ya-Ciao Yang 楊雅喬 |
指導教授: | 吳榮杰 |
關鍵字: | 能源作物,生質酒精,GARCH(1,1)模型,2005年美國能源政策法案, bio-energy crop,Bioethanol,GARCH (1,1) model,the EPAct of 2005, |
出版年 : | 2011 |
學位: | 碩士 |
摘要: | 近年來國際油價不斷攀升,尤以2008年達到每桶140美元漲幅最為劇烈;2011年開始,原油價格受到美元轉弱的影響,油價屢創新高。原油價格高漲,間接使得屬於原油替代品的生質酒精需求增加,導致生質酒精價格上升;另一方面,全球主要農產品生產區的氣候條件不佳,農產品歉收,使得農產品價格持續飆漲,進一步推升生質酒精廠商的生產成本。
本研究主要探討美國在「2005年能源政策法案(Energy Policy Act of 2005,EPAct 2005)」政策宣告前後,玉米價格波動對主要生質酒精廠商股票報酬之影響,並建立GARCH(1,1)模型,藉此探討政策發布前後玉米價格波動對股票報酬的影響。 研究結果發現: 1.政策實施前:玉米價格波動對大部分生質酒精廠商的股票報酬之影響並不顯著,且正負影響並不一定,顯示政策前玉米價格的波動並不會造成股價上漲或下跌。 2.政策實施後:玉米價格波動對大部分生質酒精廠商的股票報酬之影響有顯著正向關係,顯示在短期之內若玉米價格上升,反而會造成股價上漲的現象。 Crude oil prices have been rising continuously in recent years, with an especially sharp increase to 140 U.S. dollars per barrel in 2008. As a result of the depreciation of the value of U.S. dollars, crude oil prices are likely to reach historic high in 2011. This rise in crude oil prices has caused the demand for biofuels to rise sharply, and the price of bioethanol has gone up. In addition, due to climatic changes in production areas of staple crops, the bio-energy crops’ prices and their production costs are soaring. The purpose of this study is to investigate the relation between the stock prices of bioethanol manufacturers to corn prices by using GARCH (1, 1) model. Based on the empirical results, the study finds that before the Energy Policy Act of 2005 was announced, the price of corn had an uncertain relationship to the return of stocks. However, after the Energy Policy Act was announced, the price of corn had a positive effect on the stock prices, and for most of all manufacturers, the effect was significant. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/26419 |
全文授權: | 未授權 |
顯示於系所單位: | 農業經濟學系 |
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