碩士 / 國立臺灣海洋大學 / 航運管理學系 / 107 / The impacts of oil price are very significant on transport industry, petrochemical industry and other oil-dependent industries. Crude oil prices may influence the stock price rise or fall directly. In addition, the market sentiment also has considerable influence on the stock price, when the market panic, the stock may fall; on the other hand, it may rise.
This study focuses on the impacts of the Brent crude oil price and TVIX index on the stock prices of Taiwan transportation companies from January 1, 2014 to December 31, 2016. Regression equation is used to test the explanatory powers of oil prices and TVIX index on the stock price. Secondly, using ARMA model to determine the effects of oil prices and TVIX on the stock prices of transportation industry. Finally, using GARCH model to clarify how oil prices and TVIX influence stock price volatility.
The conclusions of those experiments show：
1. The return of oil prices cannot be an explanatory factor because its P-value higher than 0.1. Only seven companies’ TVIX index can become an explanatory factor.
2. The return of oil prices has explanatory ability to logistics companies and airlines’ stock price return, which is a reverse indicator. It also has explanatory ability to shipping companies’ stock price return, which is positive. However, TVIX index cannot explain the return of stock price.
3. The return of oil prices has a negative impact on stock price volatility. However, TVIX index has a positive impact on stock price volatility.
| Identifer | oai:union.ndltd.org:TW/107NTOU5301001 |
| Date | January 2019 |
| Creators | Huang, Yu Hsuan, 黃鈺軒 |
| Contributors | Chou, Heng Chih, 周恆志 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 60 |
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