<p>Uppsatsen studerar hur aktiekurser i oljerelaterade bolag har reagerat vid kraftiga svängningar av oljepriset och undersöker hur oljepriset och aktiekurserna följer varandra under en längre period. Uppsatsen använder sig av en event studie samt ett korrelationstest som metod. Det ingår totalt 8 bolag i studien som undersöks mot Brent råolja. Studien visar att företagen reagerar vid en kraftig rörelse i oljepriset samt att det finns en stark korrelation mellan oljepriset och aktiekurserna i majoriteten av företagen.</p>

Uppsatsen studerar hur aktiekurser i oljerelaterade bolag har reagerat vid kraftiga svängningar av oljepriset och undersöker hur oljepriset och aktiekurserna följer varandra under en längre period. Uppsatsen använder sig av en event studie samt ett korrelationstest som metod. Det ingår totalt 8 bolag i studien som undersöks mot Brent råolja. Studien visar att företagen reagerar vid en kraftig rörelse i oljepriset samt att det finns en stark korrelation mellan oljepriset och aktiekurserna i majoriteten av företagen.

本篇論文使用SWARCH模型探討布蘭特原油期貨市場的波動性。SWARCH模型將條件變異設定為可隨時間變動而改變，甚至移轉到不同的區間上。實證結果顯示SWARCH (3,3)模型具有最佳配適度與最準確的預測能力。樣本在不同區間下的平滑機率的估計值有助於補捉資料特性，而且當樣本落在高波動率區間上時會對應著重大事件的發生，如1990年波斯灣戰爭、1997年亞洲金融風暴與2001年的911恐怖攻擊。 / This paper investigates the volatility of the Brent crude oil futures markets using Markov-switching ARCH (SWARCH) model. The SWARCH model allows the conditional disturbances to change as time passes and even to switch in different regimes. The empirical evidence shows that the SWARCH (3,3) model performs the best goodness of fit and the best forecast performance between different fitting models. The estimation of smoothing probabilities of data under different regimes facilitates to capture the characteristics of data, and the high-volatility regime is associated with the extraordinary events, such as the 1990’s Persian Gulf War, the 1997’s Asia Financial Crisis, and the 2001’s 911 terrorist attack.

國際能源機構(IEA)每個月的石油報告已經變成預測世界石油供給與需求一個很重要的資源。因此，我們蒐集從1990年10月到2005年12月中國際能源機構所發佈的179次宣告，利用事件研究法來衡量國際能源機構對石油相關市場的影響性。 實證結果顯示，國際能源機構的石油報告的確對石油相關市場傳達重要的資訊；而國際能源機構報告的影響效果似乎會隨著國家的不同而有所不同；在當中，石油的生產和消費量多寡、石油的密集度和油價中稅占的比例都扮演重要的角色；此外，在國際能源機構的報告中，關於預測石油需求變化這方面似乎特別被大家所重視。 / This study examines the impact of International Energy Agency's Oil Market Reports on oil-related prices. The IEA reports, published monthly in Paris, have become the primary source of world oil supply and demand forecasts. We collect 179 announcements that released by IEA over the period October 1990 to December 2005. We analyze the effects of these reports on three oil-related markets, IPE Brent Crude futures, oil industry indices and stock prices of oil companies in six countries. Moreover, we separate the effects of IEA’s forecast changes on oil supply from non-OPEC countries and oil demand from North America and China in IEA’s report. The results confirm that IEA’s reports carry important information source for oil-related markets because more than one half of our sample companies have abnormal returns around the announcement date of IEA’s reports, and we explore these prices respond negatively to the release of IEA’s reports. We also find that the actively traded IPE Brent Crude futures contracts are affected by IEA’s reports, particularly for the change of demand in North America. Forecast changes in IEA’s reports regarding supply in non-OPEC countries, demand in North America and China show that most countries are affected by the changes in these reports. The evidences also show that British and Norwegian oil stock markets react more strongly to the change of oil demand in North America and China. Moreover, we find that participants in the oil market put more emphasis on demand changes reported by IEA, especially for China demand. And we provides empirical evidence that these companies are concerned more about the related releases of decreased demand in North America and increased demand in China. Finally, cross-sectional analysis of cumulative abnormal returns suggests that the reaction of American and Norwegian companies to IEA’s announcements is stronger than other countries, and the change of demand in North America and China and the size variable for individual company contribute to the changes of abnormal returns around IEA’s reports.