The Analysis of the Relationship between the Change in Oil Price and the Volatility of Stock Returns in Taiwan’s Transportation Industry

• Main Authors: JEN, HUANG-CHU, 任皇珠
• Other Authors: SHIH, YI-CHENG
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/99759092204922309367

碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 103 === Oil in human life and economic activity has always played a very important role, and its price fluctuations affect the cost of industry, and its volatility has a significant influence to the economic boom and recessions. The purpose of this study to explore the relationship between of international oil and the transportation shares in Taiwan, select the period of January 2005 to December 2014 weekly data, and the use of co-integration and Vector Error Correction models to analysis the Transportation Stock’s volatility by the impact of oil price fluctuations. Also in GARCH (1,1) build regression models to examine how international oil prices impact the stock return in transportations industry on Taiwan market, and explore whether the changes in oil prices will bring a lagged effect upon the return in Transportation Stock and its market efficiency. Empirical results that, oil prices and transportation stocks with a remuneration integrated relationship , the Air Transportation has negative long-term relationship , the Marine Transportation has negative long-term relationship, besides Wan Hai showed a positive relationship, the Land Transportation has negative relationship with the land shares was negative relationship. The impact of oil price volatility and rate of return, the Air Transportation was negatively affected, in which the greatest impact on China Airlines, Marine Transportation showed a slight positive impact; Land Transportation showed different effects, Kerry was a positive - negative effect, and ChungLand showed a positive effect, but the coefficient factor is not significant; fluctuations in oil prices impact on all transportation stocks remuneration are lag effects, the most significant in Air Transportation.