A Study of the Effect of the Oil Price Change Rate on Stock Returns ─ Application of Non-linear Model

• Main Authors: Ting-Chou Yeh, 葉庭州
• Other Authors: 聶建中
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/hmf875

碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === This study uses oil price change rate as a threshold variable to analyze relationship between OTC stock returns and oil price change rate, exchange rate and S&P 500 change rate. The analysis can deduce whether exist smooth transition effect or not. The empirical results indicate that only with transportation stock and construction stock have structural change. Before structural change, oil price change rate and S&P 500 change rate affect stock returns positively. However, the relationships between exchange rate and stock returns are negative. After structural change, oil price change rate and exchange rate have negative effect on stock returns. The relationships between S&P 500 and stock returns are still positive.