碩士 / 南華大學 / 財務金融學系財務管理碩士班 / 105 / This research aims at discussing over the impacts of oil price volatility on transport sector stock index, and takes US, Canada, Japan, Italy, UK, France and Germany, the high-income countries as cases. The daily data, such as WTI futures prices from January 1, 1996 to June 30, 2016, transport indexes of each country, stock market index of each country, currency against US dollar of each country as well as bond spreads of each country are applied in our empirical analysis. This study firstly employed Structure Change Model proposed by Bai and Perron (1998, 2003) to confirm whether there are structural changes. Furthermore, quantile regression model maintained by Koenker and Bassett (1978) is used to find the impacts of oil price volatility going through structural changes on the transport sector stock index.
The empirical results showed that: 1. Oil price rise has exerted negative effects on the transport sector index of US, Canada, Italy and other countries, but it plays little part in the transport sector index of Japan, UK, France and Germany. 2. Stock market index has positive effects on the transport sector index of each country while the effects vary from each other. 3. Under different quantiles, the exchange rate change exerts different effects on transport sector index of each country.
| Identifer | oai:union.ndltd.org:TW/105NHU00304004 |
| Date | January 2017 |
| Creators | HSIA, HSIU-CHING, 夏秀菁 |
| Contributors | LEE, YI-HUEY, 李怡慧 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 37 |
Page generated in 0.0073 seconds