Summary: | 碩士 === 中原大學 === 企業管理研究所 === 101 === From the past decades till now, oil becomes one of the most important commodities around the world no matter in transportation, consumer goods and economic activity. However, oil is not inexhaustible forever. Human beings not only have to face the problem of oil depletion, but also need to take responsibility for participating in productive activities caused emissions of greenhouse gas (GHG) which resulted in the environmental damage and abnormal weather problem. This study employs the Granger causality test, vector autoregression (VAR) test and vector error-correction model (VECM) to examine the long-term equilibrium relationship among carbon, oil and European stock prices. This investigation also divides the entire sample period into three sub-periods: the first sub-period runs from 2005 to 2007. The second sub-period (U.S. subprime loan crisis period) starts from 2008 to 2010. The third sub-period (European debt crisis period) runs from 2011 to 2012. The empirical results are summarized below:
1.This investigation finds that the long-term equilibrium relationship does not exist for the entire sample period, the first sub-period and the third sub-period. However, this investigation finds that carbon price, oil price, DAX Index and ITA Index have a long-term equilibrium relationship during the second sub-period.
2.This study uses the Granger Causality test and finds that carbon and oil prices have significantly mutual relationship, but carbon price and European stock price do not have significant relationship during the the second sub-period. Empirical results also show that European stock price affects carbon price and oil price during the third sub-period, suggesting that European stock price were very sensitive during this sub-period.
3.Empirical results obtained from forecast error variance decomposition show that the most explanatory power for oil and carbon prices arising from themselves. However, both U.K. and Italian stock prices also have significant impacts on oil and carbon prices.
4.Empirical findings obtained from impulse response function indicates that oil and carbon prices are most affected by themselves. On average, the European stock prices experienced huge volatility within 4 days after the shock caused by the dramatic change in oil and carbon prices. However, the volatility of European stock prices converge completely after 8 days being shocked by oil and carbon prices, suggesting that the market is efficient.
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