| Summary: | 碩士 === 樹德科技大學 === 金融與風險管理系碩士班 === 98 === This study examines the association among shifts in international petroleum prices, raw material indices, and Taiwan weighted stock indices. Multiple time series was adopted to test for the relationships among shifts in petroleum prices, commodities, Taiwan weighted stock indices. Correlation coefficients of this study included: unit root test, vector autoregression, Granger causality analysis, and impact response analysis. Petroleum prices of Dubai, commodity research bureau (CRB) futures price index, and Taiwan weighted stock index were used as sample data. Research results indicated that: in unit root test, rejection of the null hypothesis occurred for the relationships among shifts in petroleum price , commodity price index, and the Taiwan weighted stock index return. Results showed that variables were stationary time series data. Estimation using a vector autoregression (VAR) model showed that: shits in petroleum prices are subject to the influence of petroleum prices in the previous period and shifts in the commodity index in the previous period, but shifts in the Taiwan weighted stock index were not affected by shifts in petroleum prices. Granger causality test indicated that petroleum price shifts and commodity index shifts had mutual causal relationships and that shifts in commodity index affected the rate of return for Taiwan weighted stock index, constituting a one-way causal relationship. Results indicated that the international commodities index explains for the rate of return for Taiwan weighted stock index. Finally, impact response analysis indicated that: shifts in oil price had the greatest impact response towards shifts in the oil price itself, while the rate of return from Taiwan weighted stock index had the weakest impact response.
|
|---|
