A Linkage Analysis of Crude Oil Price and Stock Price Industrial Sub-indices in Taiwan
| Autor: | li-Pin Lyu, 呂理平 |
|---|---|
| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 This research applies VAR (Vector Autoregression) models to examine the influence of oil prices on stock price industrial sub-indices in Taiwan. Stock price industrial sub-indices include the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), cement, food, plastic & chemical, textile, electric machinery, paper, construction, and financial sub-indices. The crude oil price in this paper is an average of daily WTI, BRENT, and DUBAI oil prices. The sample period is from 2000 to 2006. The unit root test and cointegration tests show that the VAR model should be applied to analyze the effects of oil prices on stock price industrial sub-indices in Taiwan. The VAR(19) model indicates that the oil price does not significantly influence stock price industrial sub-indices. Granger causilty results also indicate that crude oil price has no lead-lag relationship. Oil prices do not have significant short-run influences on stock price industrial sub-indices in Taiwan. Johansen cointegration tests show that crude oil prices and stock price industrial sub-indices have no long-run equilibrium relationship. Cement and electric machinery sub-indices Granger cause other sub-indices. Especially, the cement sub-index has two-way Granger causlitiy relationships with other sub-indices except the paper sub-index. Paper sub-index does not Granger cause any other sub-indez, but is Granger cuased by all other sub-indices. Most sub-indices have a lag relationship with TAIEX, electric machinery, and financial sub-indices. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|