| Summary: | 碩士 === 國立中山大學 === 財務管理學系研究所 === 106 === After the price of petroleum crashed in 2008, with the price increase in recent years, volatility of petroleum price has gradually increased. China has focused on economic development in recent years and has become a major petroleum importing country. This study mainly discusses the relationship between the price of petroleum and stock market. To analyze the China- A share and Taiwan weighted stock Index by using statistical methods such as correlation coefficient, unit-root test, Johansen cointegration test, VECM test, Granger causality test, and forecast variance decomposition.
The empirical results show that in the correlation coefficient analysis, the price of petroleum is negative with the China A-shares and positive with the Taiwan weighted stock index. In the unit root test, all the variables are random walk. After the first-order difference, they are all in a constant state. In the co-integration check, the OPEC petroleum price has a co-integration relationship with the China A-share and Taiwan weighted stock index and has an equilibrium relationship in the long term. Under the vector error correction model, the price of China A-share and OPEC petroleum price is affected only by their own previous price fluctuations, but the Taiwan weighted stock index is affected more by itself and the previous index of China A-share. According to Granger causality test results, the China A-shares and the OPEC petroleum price are independent, but the Taiwan weighted stock index and the OPEC petroleum price have a two-way feedback relationship. The prediction error variance decomposition shows that the China A-share is most affected by their own changes, while the Taiwan weighted stock index is more affected by the China A-share than the OPEC petroleum price changes OPEC petroleum prices are significantly affected by the Taiwan weighted stock index.
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