The Impact of the Oil Price on Stock Returns

• Main Authors: Yi-Chung Chen, 陳宜君
• Other Authors: Chyi-Daniel Doong
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/85575941876637559718

碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 97 === The Impact of the Oil Price on Stock Returns Student : Yi-Chun Chen Advisor : Dr Chyi-Daniel Doong Graduate Institute of Finance, National Chung Hsing University Abstract Petroleum plays a great part in human life and the economic activities. The price of oil affects the production cost to the manufacturing and therefore changes the cost to all industries. It influences a lot to the economic environment. This paper directly argues how oil price affects the stock indexes, and takes a look into the stock markets in Taiwan. The data used in the analysis include information on the stock indexes of Taiwan (TSEC) and the WTI spot price of crude oil. I examine for the period from the first day of 1999 through the end of 2005. I separate the time period into two. One is from 2002 through 2005 as the price increasing sub-period, and another is from 1999 through 2001 as the stable price sub-period .The other from 2006 through 2008 as the price increasing sub-period This paper adopts some of the empirical methods for time series to examine the cross relationship between the indexes in Taiwan. and the crude oil price. Keywords: The price of oil ; Stock ;VAR model; Standard deviation; Crude Oil