| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 95 === This paper adopts heavy tail distribution to discuss the volatility of crude oil stock、future and crude oil related industry stock price index. Further, I adopt Bai and Perron (1998) model, divided structure transition, using the crude oil stock as a benchmark and analyze the discrepancy between the volatility of before-rise and after-rise and volatility correlation between the crude oil stock, future and crude oil related industry stock price index. Finally, I select the vast events in the period of sample, discussing the DV and JP during events. Besides, after the crude oil stock, future and crude oil related industry stock price’s index rise, the average DV and JP are smaller. In the aspect of huge influence of heavy events, 911 is the roughest one. Pearson interaction test shows the reverse relationship between the volatility of future, stock and index.
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