| 摘要: | 本研究旨在探討國際原油價格變動對臺灣產業類股指數的影響，實證中採用2003年7月1日至20012年6月29日之美國西德州中級原油現貨價格、匯率、臺灣類股指數及臺灣集中市場加權指數日資料，先利用Bai and Perron (1998,2003)提出之結構轉變模型，找出樣本區間內是否存在結構轉變的狀況，再利用以及Koenker and Bassett (1978)所提出之分量迴歸模型來檢視臺灣類股指數在經歷結構轉變前後，受到原油價格變動之不同影響。 實證分析的結果發現：第一，此六個產業類股均出現兩個結構轉變點，但時間點不太相同，但均與國內外重大事件息息相關。第二，在不考慮不對稱效果下，油價的變動僅對食品工業、塑膠工業及觀光事業有所影響，且顯著性不高。第三，在考慮油價變動的不對稱效果下，當油價報酬率為正時，電子業與觀光事業在歷經結構轉變前後，受到油價變動有不一致性的影響；當油價報酬率為負時，塑膠工業、紡織纖維與金融保險業在歷經結構轉變前後，受到油價波動有一致性的影響
This study aims to explore the change in international crude oil price affect on the Taiwan Sector Indexes. The experiment adopts the date from 1 July 2003 to 29 June 2012 contained the U.S. West Texas Intermediate crude oil spot prices, exchange rate, Taiwan Sector Indexes and the Taiwan Stock Exchange Index. First, We use structural change model proposed by Bai and Perron (1998, 2003) to figure out whether the structural transformation model exist between the simples and then use quantile regression model proposed by Koenker and Bassett (1978) to find the existence of structural change in the sample interval. Then, we use quantile regression model to view the different influence of the Taiwan Sector Indexes which undergo structural change has affected by the change of oil prices. The results of empirical analysis showed that: first, there are two structural transition points occurred from six kinds of Taiwan Stocks Indexes, but the time is not the same. It is related to domestic and international major events. Second, without considering the asymmetry effect, the change in oil price has impacts only on food industry, plastics industry and tourism, but it is not significant. Third, considering the asymmetry effect, when the oil return is positive, electronics industry and tourism which experienced structural changes have inconsistent impacts by the change in oil price. When the oil return is negative, plastics industry, textile fibers industry, and finance and insurance sector which experienced structural changes have inconsistent impacts by the change in oil price. |
