:::

詳目顯示

回上一頁
題名:台灣生質燃料概念股與原物料價格及國際股市之連動性
作者:何亮君
作者(外文):Liang-Chun Ho
校院名稱:國立雲林科技大學
系所名稱:管理研究所博士班
指導教授:黃嘉興
楊踐為
學位類別:博士
出版日期:2009
主題關鍵詞:原油生質燃料oilbio-energy
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:54
本論文是由兩個層面:(1)A組,台灣生質燃料概念股價指數與小麥、玉米、黃豆等期貨價格,原油現貨價格,波羅的海運費指數之間的連動關係 (2)B組,台灣生質燃料概念股價指數與台灣加權股價指數、美國道瓊工業股價指數、日經225股價指數、上海証綜合股價指數之間的連動關係,由兩個期間:(1) 全期,2005年1月1日至2008年3月11日 (2) 近期,2007年9月4日至2008年3月11日,對照比較,探討台灣生質燃料概念股。藉由單根檢定、Johansen共整合檢定變數之間的長期均衡關係,又以VECM檢測因果關係、衝擊反應、變異分析等變數之間的短期互動關係。結果顯示,(1)不論由哪一層面或哪一期,長期關係皆是穩定均衡的 (2)短期互動關係: 雖然對於來自玉米的影響反應,於"近期"明顯增強,但綜合言之,B組-「生質燃料概念股的股價指數與台灣加權股價指數、國際主要股價指數之間的連動關係」較A組-「生質燃料概念股的股價指數與小麥、玉米、黃豆、原油、波羅的海運費指數之間的連動關係」為緊密。
A procedure is based on bio-energy concept stocks and consists of two dimensions: (1) Group A, the relationship among the bio-energy company stock index in Taiwan, wheat futures, corn futures, soybean futures, crude oil spots, and Baltic dry index (BDI), and (2) Group B, the relationship among the bio-energy company stock index in Taiwan, TAIEX, DJI, Nikkei 225 and SSE composite index. Two phases are divided into (1) a "full phase" from January 1, 2005 to March 11, 2008, and (2) a "short-run phase" from September 4, 2007 to March 11, 2008 for a comparison of the bio-energy company stock index in Taiwan. The results indicate: (1) long-run stable equilibrium relations are maintained, and (2) for short-run interactions, generally speaking, the relationships in Group B, the relationship among the bio-energy company stock index in Taiwan, TAIEX, and major international stock indices, are closer than those in Group A, the relationship among the bio-energy company stock index, wheat futures, corn futures, soybean futures, crude oil spots, and BDI, though impulse responses imposed by corn increase significantly for the short-run phase.
1> 書籍new window
[1] 楊奕農,2005,時間數列分析,初版,雙葉書廊有限公司。new window

2>期刊報章論文
[1]陳綠蔚, 2008,高油價下全球油品及生質燃料供需展望,能源報導,97年1 月,14-16new window
[2]胡立薇,2007,擴大生質燃料運用面臨之課題與對策,能源報導,96年12月,31-34。new window
[3]黃宗煌,2007,發展生質燃料的問題與對策,能源報導,96年1月,8-10。
[4]吳耿東、李宏台,2007,全球生質燃料應用現況與未來展望,林業研究專訊,第14卷第3期,5-9。
[5]林俊義,2007,國際推動生質燃料作物之展望,林業研究專訊,第14期第3卷,35-40。
[6]宋勇徵,2006,未來生質燃料的發展,台肥季刊,第47卷第一期。
[7]Abdulkadri,A.O., M.R. Langemeierz , and A.M. Featherstionez, 2003.Estimating risk aversion coefficients for dry land wheat, irrigated corn and dairy producers in Kansas. Applied Economics 35, 825-834.
[8]Abeysinghe,T., 2001.Estimation of direct and indirect impact of oil price on growth. Economics Letters 73,147-153.
[9]Brown, Stephen P.A. and Yucel, Mine K.,1999. Oil prices and US. aggregate economic activity: a question of neutrality. Economic and Financial Review Second Quarter 1999, 16-23.
[10]Chien–Chiag ,Lee and Chun-Ping,Chang,2005.Structure breaks, energy consumption, and economic growth revisited : evidence from Taiwan. Energy Economics 27, 857-872.
[11]Chen,L.H., M. Finney, and K.S. Lai, 2005.A threshold cointegration analysis of asymmetric price transmission from crude oil to gasoline price. Economics Letters 89, 233-239.
[12]Chen,G.M., M. Firth, and O.M. Rui, 2002.Stock market linkages: evidence from Latin America. Journal of Banking and Finance 26, 1113-1141.
[13]Clements, Michael P. and Hans-Martin Krolzig, 2002. Can oil shocks explain asymmetries in the US business cycle? Empirical Economics 27, 185-204.
[14]Cologni,A. and M. Manera, 2008.Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries. Energy Economics 30,856-888
[15]Cunado, Juncal and Fernando Perez de Gracia, 2005. Oil prices, economic activity and inflation: evidence for some Asian countries. The Quarterly Review of Ecomonics and Finance 45, 65-83.
[16]Dargay, Joyce and Dermot Gately, 1995. The imperfect price- reversibility of non transportation oil demand in the OECD, Energy Economics 17, 59-71.
[17]Davis, S.J. and J. Haltiwanger, 2001. Sectoral job creation and destruction response to oil price changes. Journal of Monetary Economics 48, 465-512.
[18]LeBlanc, Michael and Menzie Chinn , 2004. Do high oil prices presage inflation? The evidence from G-5 countries. Santa Cruz Center for International Economics, UC Santa Cruz Economics Working Paper No. 561; SCCIE Working Paper No. 04-04.
[19]Dekker,A., K. Sen, and M.R. Young, 2001.Equity market linkages in the Asian NIEs. Journal of Macroeconomics 16, 629-651.
[20]Gately ,Dermot and Hillard G. Huntington,2002. The asymmetric effects of changes in price and income on energy and oil demand,2002 Energy Modeling Forum,California:Stanford University.
[21]Granger,C.W.J., 1988.Causality,cointegration and control. Journal of Economics and Control 12, 551-559.
[22]Goto,U., 2005. A test of the credibility of temporary protection: evidence from the Japanese oil industry. Applied Economics Letters 12,119-123.
[23]Haas, Reinhard and Schipper Lee ,1998. Residential energy demand in OECD- countries and the role of irreversible efficiency improvements. Energy Economics 20, 421-42.
[24]Henriquers, Irene and Perry Sagdorsky,2008. Oil price and stock price of alternative energy companies. Energy Economics 30, 998-1010.
[25] Huang, Chia-Hsing and Liang-Chun Ho, 2008. The relation between bio-fuel concept stocks in Taiwan and commodities: two terms. Actual Problems of Economics 89, 242-255.
[26] Huang, Chia-Hsing and Liang-Chun Ho, 2008. The relationship between the bio-energy concept stocks in Taiwan and the international stock markets. Corporate Ownership & Control 5, 437-443.
[27]Jim''enez-Rodr''iguez,R. and M. S''anchez, 2005.Oil price shocks and real GDP growth :empirical evidence for some OECD countries. Applied Economics 37, 201-228.
[28]Johansen,S. and K.Juselius,1990. Maximum likelihood estimation and inference on ciontegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics 52, 169-210.
[29]Johansen,S., 1991. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59,1551-1580.
[30]Johansen,S., 1992. A determination of co-integration rank in the presence of a linear trend? Oxford Bulletin of Economics and Statistics 54, 383-397.
[31]Jones, Donald W., Leiby, Paul N. and Paik, Inja K, 2004. Oil price shocks and the macro-economy: what has been learned since 1996. The Energy Journal 25.
[32]Kolos, S. P. and E. I. Ronn, 2008. Estimating the commodity market price of risk for energy prices. Energy Economics 30, 621-641.
[33]Lee, k.Y. 2006. The contemporaneous interactions between the U.S., Japan, and Hong Kong stock markets. Economics Letters 90, 21-27.
[34]Liang.C.Y, 2004. The effect of entering the WTO on the oil industry and the economy of Taiwan. World Economy 27, 1537-1554.
[35]M.Martin Boyer and Didier Filion, 2007. Common and fundamental factors in stock returns of Canadian oil and gas companies. Energy Economics 29, 428-453.
[36]Mohan Nandha and Shawkat Hammoudeh,2007. Systematic risk, and oil price and exchange rate sensitivities in Asia – Pacific stock market. Research in International Business and Finance21,326-341.
[37]Nandha. M, and R. Faff, 2008. Does oil move equity prices? A global view. Energy Economics 30, 986-997.
[38]Nehring,R. and J.Fernandez-Cornejo, 2005.Off-farm labor and the structure of US agriculture: the case of corn/ soybean farms. Applied Economics 37, 633-649.
[39]Papapetrout, E. 2001.Oil price shocks, stock market, economic activity and employment in Greece. Energy Economics 23, 511-532.
[40]Sims,C.A., 1988.Bayesian skepticism on unit root econometrics. Journal of Economic Dynamics and Control 12, 463-474.
[41]Sadorsky, P. ,1999. Oil price shocks and stock market activity. Energy Economics 21, 449-469.
[42] Yang, H.Y., 2000. A note on the causal relationship between energy and GDP in Taiwan. Energy Economics 22, 309-317.

3> 學位論文
[1]陳志松,2008,台灣再生能源類股與油價及世界能源指數之關聯性研究,淡江大學,管理科學研究所碩士論文。new window
[2]張尹華,2008,油價衝擊與股市績效:國際資金流動之跨國分析,東海大學,財務金融研究所碩士論文。
[3]劉世莊,2008,石油價格變動與總體經濟變數之關聯性分析-以美國和台灣為例,實踐大學,財務金融保險研究所碩士論文。
[4]李青蒨,2008,石油價格變動對投資人非理性行為影響,國防管理學院,國防財務資源研究所碩士論文。
[5]張建交,2008,石油價格風險對時間便易系統風險的影響,國立東華大學,企業管理研究所碩士論文。
[6]陳保元,2008,原油價格與股價關係之探討-以台灣股市及大陸A股為例,暨南國際大學,財務金融研究所碩士論文。
[7]陳信佑,2008,油價變動對台灣產業衝擊之影響,輔仁大學,金融研究所碩士論文。
[8]黃瑞雲,2008,油價對美國景氣衝擊之大小,輔仁大學,金融研究所碩士論文。
[9]陳怡憓,2007,原油價格與能源期貨、股票指數期貨及股票市場報酬率之關聯性,國立彰化師範大學,企業管理研究所碩士論文。
[10]林明煌,2007,原油價格變動對亞太股市影響之研究,中興大學,應用經濟學研究所碩士論文。
[11]黃則尹,2006,國際原油市場間價格之資訊傳遞效果,國立雲林科技大學,財務金融研究所碩士論文。
[12]陳彥良,2006,原油價格波動與總體經濟之關聯性-以韓國為例,國立台灣大學,國際企業研究所碩士論文。
[13]陳志幸,2006,台灣太陽能概念股股價與油價關連性之研究,國立中山大學, 經濟學研究所碩士論文。
[14]郭麗莉,2006,油價及匯率波動對企業的影響,國立中山大學,財務管理研究所碩士論文。
[15]黃旭淳,2006,國際原油價格對總體經濟變數之影響,交通大學,經營管理研究所碩士論文。
[16]張芳倩,2006,原油價格與大盤及類股股價指數之相關性,國立中正大學,財務金融研究所碩士論文。
[17]洪啟堯,2006,國際油價與骨是對整合型石油公司之影響-以美國為例,國立中山大學,財務管理研究所碩士論文。
[18]趙浩源,2006,因應企業經營環境變遷發展新事業之決策模式─以生質柴油發展可行性之研究為例,國立台灣大學,國際企業研究所碩士論文。
[19]陳淑玲,2005,石油價格與黃金價格衝擊對台灣加權股價指數期貨、現貨的影響,國立台北大學,合作經濟研究所碩士論文。
[20]文建昌,2005,原油期貨與期權避險策略績效評估-以原油價格風險為例,中興大學,應用經濟研究所碩士論文。
[21]劉筱筠,2005,應用門檻 GARCH-M 模型分析國際原油價格變動與台灣股價報酬波動之關連性,國立台北大學,經濟學研究所碩士論文。
[22]王天賜,2004,原油價格、台灣股價指數與總體經濟的關聯性,國立東華大學,國際經濟研究所碩士論文。
[23]楊馥榮,2004,交割選擇權對期貨市場效率性分析:以CBOT玉米期貨為例,國立東華大學,企業管理研究所碩士論文。
[24]林于文,2003,股價、匯價、利率傳遞效果之分析-多變量VAR-EGARCH的應用,逢甲大學經濟研究所碩士論文。
[25]林淑貞,2002,大宗穀物期貨價格大漲大跌行為之探討,屏東科技大學,農企業管理研究所碩士論文。
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關博士論文
 
無相關書籍
 
無相關著作
 
無相關點閱
 
QR Code
QRCODE