摘要

再生能源、石化燃料、科技產業關係變化之探討

Hastings, Matthew C.

2016年六月

指導教授：陳淑玲博士
系所：企業管理碩士班
組別：金融
學位：企業管理碩士


數據分析趨勢是決定全球投資基金和管理人成功與否的關鍵因素，正確預測未來趨勢將大大影響最終的獲利。2009年經濟大衰退 (Great Recession) 之前的研究多預測科技、石油與再生能源之間，將形成一股新趨勢，再生能源將與科技產業齊步發展，且極易受石油市場衝擊。本研究旨在證明此趨勢已不復存，原因在於全球市場在金融危機後存在不確定性，且投資人已經轉移回安全、傳統的市場避險。

本研究利用向量自回歸模型 (Vector Auto-Regression) 分析過去對再生能源指數、石化燃料與科技產業關係的普遍假設。本研究將數據按照衰退期前、衰退期間、衰退期後三階段分為三組，數據來源包括WilderHill乾淨能源、 西德州中級原油 (West Texas Intermediate)、美國煤炭 (U.S. Coal)、 美國天然氣指數基金 (U.S. Natural Gas Fund)、科技100指數(ArcaTech 100) 以及美國聯準會利率，數據涵蓋2004至2015財政年度的每日股票指數。本研究結果顯示，再生能源與煤礦、天然氣價格的關係比石油更密切。此外，2009年的經濟大衰退尚未發生前，再生能源普遍與高科技市場存在依賴關係，但是這樣的關係已經改變。本研究也將探討衰退期後再生能源與科技產業關係改變的原因。



關鍵字：再生能源、石化燃料、永續性、能源相關性、綠色能源、高科技

Hastings, Matthew C.

June 2016
ADVISOR: DR. CHEN, SHU-LING
DEPARTMENT: MASTER PROGRAM OF BUSINESS ADMINISTRATION
MAJOR: FINANCE
DEGREE: MASTER OF BUSINESS ADMINISTRATION

Trends in data are critical to the success of investment funds and managers around the globe. The correct prediction of coming trends can be the difference of fortunes. Prior to the “Great Recession” of 2009 studies showed that a trend between technology, petroleum, and renewable energy could be established, with the prediction that renewable energy would follow in step with technology firms, but be vulnerable to shocks in the petroleum market. This paper aims to show that this trend has been removed due to uncertainty in the global market after the financial crisis and that investors have fled back to traditional and safe markets.
This paper applies a Vector Auto-Regression equation in order to analyse the wide-spread assumption of a relationship between renewable energy indexes, fossil fuels and the technology industry. Data for this study is separated into the three categories of pre-crisis, crisis, and post-crisis periods. We will use daily stock index price data from; WilderHillClean Energy, West Texas Intermediate, U.S. Coal, the U.S. Natural Gas Fund, ArcaTech 100, and Federal Reserve interest rates during the fiscal period of 2004 to 2015. This study shows not only that renewable energy has become more correlated with the prices of Coal and Natural Gas over Petroleum, but that there has been a shift in the reliance relationship between Renewable Energy and the high technology marketplace that had been prevalent before the Great Recession of 2009. In addition, this paper will aim to address the causes of the post-crisis shift in the correlation between technology and renewable energy.

Key Words: renewable energy; fossil fuels; sustainability; energy correlation; green energy; high technology

Table of Contents

Abstract 2

Chapter 1: Introduction 7

Chapter 2: Literature Review 17
2.1 The Renewable Energy Economy 17
2.2 Petroleum, Fossil Fuels and the Renewable Energy Connection 23
2.3 Technology’s Relationship with Renewable Energy 27
2.4 Behavioral Factors and Policy Associated with Renewable Energy 30

Chapter 3: Methodolody 33
3.1 Data 33
3.2 Vector Auto Regression Model 40

Chapter 4: Empirical Analysis 43
4.1 Bubble Period Regression Results 44
4.2 Crisis Period Regression Results 50
4.3 Recovery Period Regression Results 57

Chapter 5: Conclusion 65

References 69

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