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    题名: 石油價格波動對中國等金磚四國股票市場之影響
    其它题名: The Impact of Oil Price Shocks on the Large-Size Nies Stock Market
    作者: 方中柔
    贡献者: 行政院國家科學委員會
    國立政治大學經濟學系
    关键词: 石油價格;油價波動;股票市場;新興工業國家;中國股市
    Oil price;Oil price shock;Stock market;NIEs;Chinese stock market
    日期: 2009-08
    上传时间: 2011-11-28 15:52:32 (UTC+8)
    摘要: 雖然有許多實證研究曾探討石油價格變動和經濟活動之關係，但令人意外的是：在相關文獻中，卻很少提及油價波動對中國等大型新興工業國家(NIEs)股票市場之影響。因此，本計畫擬利用1997/1 至2008/12 較新及詳盡的月資料，對此一議題作深入的探討，希望能夠彌補文獻上之空缺。因依先前相關實證分析顯示，油價可能混合不同性質之波動，此將和傳統文獻中高油價會導致股價下跌的結論並不完全相同。故本計畫擬利用 Kilian and Park (2008)所提之計量方法，將油價波動區分為總供給、總需求、與石油市場之特定需求三個面向出發，探討不同面向的油價波動對中國等金磚四國股市的影響。有別於Kilian and Park (2008)利用美國資料的實証分析，我們發現：近年來快速經濟成長吸引投資者繼續將資金留在中國等金磚四國股市，較不會預期油價上揚而有獲利結清的動作，故中國等金磚四國股市相對於其他國家股市受整體經濟變化的影響較小。因此，三個不同面向的油價波動對中國等金磚四國股市的影響可能會有所不同。最後，我們更近一歩利用變異數分解法，探討油價波動長短期總效果對中國等金磚四國股市的解釋能力，並將和其他國家資料所得之結果作一比較。
    Although a lot of the empirical research has studied the relation between oil price changes and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the large-size NIEs stock market. Therefore, the main goal of this paper is that we are try to use the more detail and new monthly data which from 1997/1 to 2007/12 to fill this gap. From the previous empirical analysis, we find that the impact of oil price shocks on Chinese or other large-size NIEs stock prices maybe mixed. In contrast to the conventional wisdom that higher oil prices necessarily cause lower stock prices, global oil demand, supply or oil-market specific demand shock perhaps cause both higher real oil prices and higher stock prices, which helps explain the resilience of the large-size NIEs stock market to the recent surge in the price of oil. Overall, comparing to oil demand and oil supply shocks combined account for 22% of the long-run variation in U.S real stock returns, we also want to know what the ratio explanation in those of large-size NIEs.
    關聯: 基礎研究
    學術補助
    研究期間:9808~ 9907
    研究經費:425仟元
    資料來源: http://grbsearch.stpi.narl.org.tw/GRB/result.jsp?id=1522865&plan_no=NSC98-2410-H004-040&plan_year=98&projkey=PF9806-0787&target=plan&highStr=*&check=0&pnchDesc=%E7%9F%B3%E6%B2%B9%E5%83%B9%E6%A0%BC%E6%B3%A2%E5%8B%95%E5%B0%8D%E4%B8%AD%E5%9C%8B%E7%AD%89%E9%87%91%E7%A3%9A%E5%9B%9B%E5%9C%8B%E8%82%A1%E7%A5%A8%E5%B8%82%E5%A0%B4%E4%B9%8B%E5%BD%B1%E9%9F%BF
    数据类型: report
    显示于类别:[經濟學系] 國科會研究計畫

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