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標題: | 油價、美元、美股指數與台股指數之互動關係研究 A Research of the Interactive Relationship Among Oil Price, US Dollars, American Stock Price Index and Taiwan Weighted Stock Price Index |
作者: | Pin-Hsiu Yang 楊品修 |
指導教授: | 陳旭昇 |
關鍵字: | 單根檢定,向量自我迴歸模型,Granger因果關係檢定,衝擊反應分析,預測誤差變異數分解, unit root test,vector autoregression model,Granger causality test,impulse response analysis,forecast error variance decomposition, |
出版年 : | 2013 |
學位: | 碩士 |
摘要: | 本文使用2000:M1至2012:M6之月資料,並運用多種時間序列計量方法,以驗證油價、美元、美股指數及台股指數之間的互動關聯性。本研究主要找出與台股指數間有相互影響的變數。為反映美股與台股的長期投資價值,改以還原息值的報酬指數來代替傳統的原始股價指數。同時,為貼近台灣企業的真實油價成本,乃依照30%杜拜原油和70%布蘭特原油的浮動計價機制,另行編製台灣油價指數,以替代其他原油價格。經過分析後,台灣油價指數、美元指數以及那斯達克報酬指數,為研究台股指數應選取之最佳變數。本文的研究結果可提供投資人決策或作為台股指數相關學術研究之參考。 This paper uses monthly data from 2000:M1 to 2012:M6 to utilize various quantitative methods of time series, in order to verify the interactive relationship among oil price, US dollars, American stock price index, and Taiwan weighted stock price index (TAIEX). We focus this research on some variables which are influential mutually with TAIEX. In order to reflect the long-term investment value between US stock and TAIEX, traditional stock price indexes are substituted by the stock price return indexes which include dividends. Meanwhile, we make the Taiwan oil price index instead of the other crude oil prices according to present floating oil price mechanism, which involve 30% Dubai crude oil price and 70% Brent crude oil price. Thus, it could approach genuine oil price cost for Taiwan businesses. Through the analysis of correlation, we consider the Taiwan oil price index, US dollar index, and NASDAQ composite return index as the best variables about TAIEX research. The result of research for this paper could offer the reference of investors for their trade decision or scholars for TAIEX empirical research. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/6406 |
全文授權: | 同意授權(全球公開) |
顯示於系所單位: | 經濟學系 |
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