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研究生:沙瓦帝
研究生(外文):NUR SETYOWATI
論文名稱:印尼能源價格與股價之遞迴共整合分析
論文名稱(外文):Recursive Cointegration Of Energy And Stock Prices In Indonesia
指導教授:簡美瑟簡美瑟引用關係
指導教授(外文):CHIEN,MEI-SE
口試委員:張存炳許義忠
口試委員(外文):CHANG,TSUN-PINGHSU,YI-CHUNG
口試日期:2016-05-03
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:金融系金融資訊碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2016
畢業學年度:104
語文別:英文
論文頁數:52
中文關鍵詞:股價油價天然氣價格遞迴共整合
外文關鍵詞:Stock priceoil pricenatural gas pricerecursive cointegration
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本研究探討印尼之匯率、股價、油價和天然氣價格在2005年至2015年間的動態關連性。為了分析各變數間之長期動態關係,本文利用Gregory and Hansen (1996)結構轉變共整合分析與遞迴共整合分析其動態長期均衡。本文的實證結果整理如下:第一、由Gregory and Hansen (1996) 的實證結果顯示,主要的結構轉變發生在長期共整合2008和2009間,其導因於2008-2009全球金融危機。第二、遞迴的共整合結果顯示在2009年後各變數間確認存在共整合關係。最後,遞迴共整合係數的結果顯示,油價增長導致印尼的股價下跌,當天然氣價格提高,帶來印尼的股價上漲。天然氣扮演影響印尼股價重要的角色及穩定四種市場間的關係。
The purpose of this study is to investigate the time varying behavior and the dynamic linkages of Indonesian exchange rate, and stock, oil, and natural gas prices over the period from 2005 to 2015. To capture the dynamics of long run relationships, we use the Gregory and Hansen (1996) cointegration test with a structural break and a recursive cointegration test to examine the time-varying nature of convergence in this paper. The main findings are as follows. First, the result of the Gregory and Hansen (1996) test shows that the main structural break occured in the long-run cointegrating around 2008 and 2009 and was caused by 2008-2009 global financial crisis. Second, the results of recursive cointegration present cointegration among the variables after 2009. Finally, the results of recursive cointegration’s coefficients display that increasing oil price produce a drop in Indonesian stock prices, while rising gas prices and currency depreciation bring about higher Indonesian stock price. Natural gasplays an important role in affecting Indonesian stock prices and stabilizing the relationship among four markets.
Contents
摘要 i
Abstract ii
Acknowledgement iii
Contents iv
List of Tables v
List of Figures vi
Chapter1Introduction 1
Chapter2 Background and Literature Review 3
2.1 Background 3
2.2 Literature Review 5
Chapter3 Methodology 11
3.1 Unit Root Tests 11
3.2 Gregory and Hansen Cointegration Test 12
3.3Recursive Trace Statistics 14
Chapter4 Empirical Results 16
4.1Data Description and the Result of Unit Root 16
4.2 The Results of Cointegration of the Case without Gas Price 19
4.2.1 The Results of Gregory and Hansen Tests 19
4.2.2The results of the Recursive Cointegration 20
4.3 The Result of Cointegration of the Case with Gas Price 27
4.3.1 The result of Gregory and Hansen Tests of The Case with Gas Price 27
4.3.2The results of the recursive cointegration of the case with gas price 28
Chapter5 Conclusion 36
Reference 38

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