How Differience In Different Durant Of Transform Of Oil Price

• Main Authors: Lee, Li-Chang, 李立昌
• Other Authors: Ho, Chia-Cheng
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/44880984429791940906

碩士 === 國立中正大學 === 財務金融學系碩士在職專班 === 105 === The data sources used in this study are West Texas Crude Oil Price, London Gold Fixing Price, EIA Crude Oil Inventories, S & P 500 Index and Dollar Index. During the study period from January 1995 to November 2016, nearly 22 years, a total of 263 months of data. And the relationship between oil prices and fundamentals, economic and financial aspects of the five variables in different periods, and whether the oil price reflects its structural attributes. After the empirical analysis, the main conclusions of the study are as follows: The ADF single test found that the time series of the West Texas crude oil price, the London gold fixing price, the EIA crude oil inventories, the S & P 500 index and the US dollar index all have the single root value, then take the natural logarithm and then the first difference For a single test, the sequence was stationary, I (1) sequence. On the basis of the results of the collinearity test, the test results of West Texas Crude Oil, London Gold Fixing Price, EIA Crude Oil Inventories, Standard & Poor's 500 Index and Dollar Index Fluctuations, the rates of change of all variables are all low or moderate , There is no collinearity problem. The four sub-periods of the regression model test results reflect the aggregate results at different times, oil prices and the correlation between different variables of the characteristics of oil as a core energy and industrial transportation materials, oil prices and fundamentals of the currency denominated in dollars and Oil supply is significantly related; as a financial asset, and the financial side of another hedge gold and economic indicators S & P500 index has significant correlation; but because of its practical value and risk aversion, oil as commodities, oil prices and the majority And the price of petroleum is different from the financial, economic and financial aspects of the price reflects the structural attributes of the conversion.