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系統識別號 U0026-0707201514321300
論文名稱(中文) The Impact of Oil Price on Equity Return in Oil and Gas Sector
論文名稱(英文) The Impact of Oil Price on Equity Return in Oil and Gas Sector
校院名稱 成功大學
系所名稱(中) 國際經營管理研究所碩士班
系所名稱(英) Institute of International Management (IIMBA--Master)
學年度 103
學期 2
出版年 104
研究生(中文) 陳美娟
研究生(英文) Pricillia Kesuma Tanujaya
學號 RA6027405
學位類別 碩士
語文別 英文
論文頁數 79頁
口試委員 指導教授-謝惠璟
召集委員-楊曉瑩
口試委員-張巍勳
中文關鍵字 none 
英文關鍵字 Oil and gas sector return  Oil price return  Oil price shock  Multi-factor model  Oil exporter countries  Oil importer countries 
學科別分類
中文摘要 none
英文摘要 This paper is discussing about the relations between oil price return towards oil and gas sector return in oil importers (China, Japan and Singapore) and oil exporters (Russia, Norway and Canada). Many studies have been done concerning oil price relations with stock market, as well as oil price relations with some sectors in stock market. To the best of our knowledge, none of them have studied oil price relations with oil and gas sector on oil importer and oil exporter. In addition, this study also include the impact of oil price shock (supply shock, aggregated demand shock and precautionary demand shock) towards oil and gas sector return. By using multi-factor model and regression technique, this study found out that both oil importers and oil exporters have positive relation between oil price return and oil and gas sector. During oil price shock, it is found that oil price return and market return effect is indifferent towards oil and gas sector return during oil supply shock, and aggregated demand shock for both oil exporters and oil importers. During precautionary demand shock, there are two effects. The relationship is found to be negative for both sides specific during Libyan Turmoil, whereas it changes into positive during Iraq War II and Arab Spring, but its significance only occur during certain period of time and only for certain countries.
論文目次 ABSTRACT I
ACKNOWLEDGEMENT II
TABLE OF CONTENTS III
LIST OF TABLES VI
LIST OF FIGURES VIII
CHAPTER ONE INTRODUCTION 1
1.1 Research Background and Motivation. 1
1.1.1 The Impact of Oil Price to Stock Market. 3
1.1.2 Economy Events Impact on Oil Industry. 4
1.1.3 Oil Exporter and Oil Importer. 4
1.2 Research Objectives. 9
1.3 Research Gap. 9
1.4 Research Structure. 10
CHAPTER TWO LITERATURE REVIEW 11
2.1 Theoretical Framework. 11
2.1.1 Multi-Factor Model (MFM) Theory. 11
2.1.2 Demand and Supply Theory. 12
2.1.3 Financial Contagion Theory. 14
2.2 Empirical background: Oil Price and Macro-Economy. 15
2.3 Oil Price and Equity Return on Stock Market. 16
2.4 Oil-Exporters and Oil-Importers Country. 18
2.4.1 Russian, Norway, and Canada as Oil Exporter. 19
2.4.2 Singapore, China and Japan as Oil Importer. 20
2.5 Oil Price and Equity Return on Oil and Gas Sector. 22
2.6 Macro-Economic Factors that Contributes to Stock Return. 23
2.6.1 Interest Rate or Term Premium. 23
2.6.2 Exchange Rate. 24
2.6.3 Market Index. 25
2.6.4 Other Factors. 25
2.7 Oil Price Shock. 26
2. 7. 1 Oil Price Chronology. 28
2.8 Expectation of the Result. 29
CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 32
3.1 Research Model. 32
3.1.1 Based Model. 32
3.1.2 Develop Model. 33
3.1.3 Wald Test. 34
3.1.4 Oil Price Shock Analysis. 35
3.2 Descriptions of Data and Model. 37
3.2.1 Data Collection. 37
3.2.2 Objective of the Test. 38
3.3 Result Expectation. 39
CHAPTER FOUR RESEARCH RESULTS 41
4.1 Descriptive Analysis. 41
4.2 Regression Results. 52
4.2.1 Oil Price and Return on Stock Market Index. 52
4.2.2 Oil Price and Return on Oil and Gas Sector Index. 54
4.2.3 Asymmetric Change in Oil Price Return. 60
4.2.4 Oil Price Shock. 63
CHAPTER FIVE CONCLUSION AND SUGGESTIONS 71
5.1 Future Research. 73
REFERENCES 74
APPENDICES 79
Appendix 1: Oil and Gas Sector Model 2. 79
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