| Summary: | 碩士 === 國立中正大學 === 財務金融學系碩士在職專班 === 104 === This study discusses the impact of Taiwan stock indexes、North Sea Brent Crudev’s oil price and World Energy to the stock index returns of Taiwan LED industry.The information contained within the data applies to the period of January 1,2006 to December 31,2013.For data measurement and results,an empirical analysis method including unit root tests,cointegration tests VECM,impulse response,variancedecomposition,and granger causality tests,was used.
The study showed that Taiwan stock indexes、World Energy、North Sea Brent Crudev’s oil price and the stock index returns of Taiwan LED industry appear to be stationary after the first difference in unit root test. Cointegration Test reveals thatTaiwan stock indexes、World Energy、North Sea Brent Crudev’s oil price and the stock index returns of Taiwan LED industry have two cointegrated vector，which indicates the existence of a long-running equilibrium.In the VECM，Impact of oil prices on the World Energy and Taiwan stock indexes is more significant。By way of impulse response, Taiwan stock indexes affected by oil prices,World Energy and the stock index returns of Taiwan LED industry impulse reaction.The stock index returns of Taiwan LED industry affected by World Energy impulse reaction.World Energy affected by oil prices impulse reaction.Finally, a granger causality test showed that only the stock index returns of Taiwan LED industry leads Taiwan stock indexes,it exists feedback relationship between World Energy and Taiwan stock indexes and oil prices.
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