教師資料查詢 | 類別: 研究報告 | 教師: 聶建中 NIEH, CHIEN-CHUNG (瀏覽個人網頁)

標題:油價波動對股市基本分析的非線性影響七大工業國實證
學年101
學期1
出版(發表)日期2012/08/01
作品名稱油價波動對股市基本分析的非線性影響七大工業國實證
作品名稱(其他語言)Nonlinear Investigation for the Impact of Oil Price Volatility on the Fundamental Analysis in G7 Stock Markets
著者聶建中
單位淡江大學財務金融學系
描述計畫編號NSC101-2410-H032-018 ;
研究期間201208~201307 ;
研究經費371,000
委託單位行政院國家科學委員會
摘要This study investigates the relationship between real oil price volatility and real stock returns in G7 markets from January 1991 to December 2010 using a panel smooth transition regression (PSTR) model. The empirical results show that real oil price volatility has a single threshold effect on real stock returns, and the estimated threshold values of the real oil price volatility of different markets (Brent and WTI) are 5.35 % and 4.64 %, respectively. The primary contribution of this study is the observation that macroeconomic variables tend to have a greater effect on real stock returns when real oil price volatility is in a low regime compared to the effect when in a high regime. The results of this study may also be useful for individual investors and financial institutions.;本研究將利用Gonzalez, Terasvirta and Dijk (2004, 2005)所發展的一般化縱橫門檻平 滑移轉迴歸模型(Generalized-Panel Smooth Transition Regression Model, GPSTR),以七 大工業國為樣本,並分別比較WTI 及 Brent 兩種原油之波動所可能產生之影響,探討 油價波動對總體經濟變數變化對各大工業國股市之縱橫平滑移轉效果,進而自非線性 角度探究股市基本分析的準確度,所得結果,可提供投資人進行國際投資之投資參考策略。
關鍵字
語言中文
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