本研究以分量迴歸探討國際油價對台灣股市之影響並將匯率及台股成交量因素納入考慮。以台灣證交所上市櫃公司為研究對象。利用該所2019年1月1日至2020年12月31日的大盤收盤資料，進行跨產業分析，藉此釐清油價變動對股市及各產業實際的影響。文中以描述性統計、單根檢定、相關性統計、Chou 檢定、OLS模型及分量迴歸模型進行實證研究，探討國際原油價格與股市及產業股價之關聯。研究結果發現在OLS模型中大盤及其八大類股包含水泥、食品、塑化、紡織、機電、造紙、營建和金融類股皆不受石油價格影響。在分量迴歸模型油價對水泥、食品、塑化、紡織、造紙、營建和金融類股均有不同程度影響，其中在油價相對高的時候水泥、塑化、造紙、營建和金融類股容易大漲。食品及紡織類股容易跌。油價的波動對機電類股並無任何影響。台灣是出口導向市場。國際油價波動對台灣經濟息息相關。分量迴歸模型分析提供了一個更仔細深入分析油價對各產業股價的影響。

The price of international crude oil usually influences the volatility of domestic stock market. However, how the effects of the crude oil price acts on Taiwan Stock Exchange Weighted Index, especially for the sub-categories Stock Exchange Weighted Index (finance, construction, paper, electronic stock market etc.) were unknown. Therefore, we studied the impact of international crude oil price on Taiwan Stock Exchange Weighted Index between 1 Jan 2019 and 31 Dec 2020 by using the descriptive statistics, unit root analysis, correlation statistics, Chou breakpoint test, ordinary least squares (OLS) model and quantile regression (QR) model. The influences of Taiwan Stock Trading Volume and exchange rate were also included in the analysis of OLS and QR model. Our study showed that there was no impact of international crude oil price on Taiwan Stock Exchange Weighted Index and 8 sub-categories Stock Exchange Weighted Index by the OLS model. The QR model further showed that the international crude oil price had different degree of influences on 7 sub-categories Stock Exchange Weighted Index (Cement, Food, Plastic, Textile, Paper, Construction and Finance Stocks). When the international oil price rises, the Stock Exchange Weighted Index for cement, plastic, paper, construction and finance also increase simultaneously, but the Stock Exchange Weighted Index for food and textile decrease. The volatility of oil price does not have any effects on electronic Stock Exchange Weighted Index. Taiwan is an export-oriented market and almost all of the crude oil was imported. Therefore, the oil price influences on the domestic economic development largely. The QR model provides a comprehensive analysis tool of oil price volatility on 8 sub-categories Stock Exchange Weighted Index in Taiwan.

中文摘要　 ------------------------------------------------------------------------------ i
英文摘要 ------------------------------------------------------------------------------ ii
誌謝 ----------------------------------------------------------------------------- iii
目錄 ----------------------------------------------------------------------------- iv
圖目錄 ----------------------------------------------------------------------------- v
表目錄 ----------------------------------------------------------------------------- vi
第壹章 緒論 -------------------------------------------------------------------------- 1
第一節 研究動機與目的 ------------------------------------------------------------------- 1
第二節 研究架構 ------------------------------------------------------------------ 3
第貳章 文獻探討 ------------------------------------------------------------------------- 5
第參章 研究方法 ------------------------------------------------------------------------- 7
第肆章 實證分析 ------------------------------------------------------------------------- 9
第一節 資料選擇與說明--------------------------------------------------------------- 9
第二節 描述性統計、單根檢定、相關性統計、Chou 檢定、普通最小平方法、分量迴歸模型------------- 12
第五章 結論 -------------------------------------------------------------------------- 18
參考文獻 ------------------------------------------------------------------------------ 19
附錄一 ------------------------------------------------------------------------------ 20
附錄二 ------------------------------------------------------------------------------ 44
附錄三 ------------------------------------------------------------------------------ 45
附錄四 ------------------------------------------------------------------------------ 47
附錄五 ------------------------------------------------------------------------------ 51

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