The Empirical Study for the Effect of International Oil Volatility on Taiwan Stock Exchange

• Main Authors: Chien-Ling Sung, 宋筧玲
• Other Authors: Chien-wei Hung
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/48648397505471014833

碩士 === 嶺東技術學院 === 財務金融研究所 === 93 === This study use the daily data of industrial indices in Taiwan Stock Exchange (TAIEX) and West Texas Intermediate oil price to investigate the lead-lag relationship between oil price and industrial group stock indices in TAIEX by the vector autocorrelation regression (VAR) model. The empirical results show that the impacts of oil price changes on the industrial group stock indices are different. According to the time span and direction of the reactions to the oil price change, we divide the industrial group stock indices into four groups. The first group includes Electric Appliance & Cable, Electronics, Plastics, Steel & Iron indices which respond to oil price change within one week. The second group includes Automobile, Finance, Chemicals, Construction and Foods indices which react to oil price change between one to two weeks. The third group includes Wholesale & Retail and Cement indices which respond to oil price change between two to three weeks. The last group includes Textiles, Electrics & Machinery, Glass & Ceramics, Paper & Pulp, Rubber, Transportation and Tourism which are no response to the oil price change. Among all the industrial group stock indices, Electric Appliance & Cable, Plastics, Steel & Iron, Foods, Wholesale & Retail, Cement indices are positive correlated with oil price change, and Electronics、Automobile, Finance,、Chemicals, Construction indices are negative correlated with oil price change.