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Dissertations / Theses on the topic 'Oil stock'
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1
Sheikhani, Mardin. "Political risk and Russian oil stock : A comparison of performance and volatility between leading producers in a global context." Thesis, Uppsala universitet, Institutionen för informatik och media, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447811.
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This paper compares Russian and US oil stock performance in terms of risk adjusted returns and volatility with an emphasis on political risk. This is done through using the Sharpe ratio and expanding the notion of risk-free interest rates to capture different levels of political risk in monetary terms. The comparison is made on the DJUSEN and the MOEXOG during 2011-2019. The result of the study shows that Russian oil stock performed significantly worse than its US equivalent during the period both in terms of risk adjusted returns and volatility. These results are thought to be of importance for financial investors, be they private individuals or institutions.
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Schmitz, Anthony. "Effect of oil prices on returns to alternative energy investments." Thesis, Atlanta, Ga. : Georgia Institute of Technology, 2009. http://hdl.handle.net/1853/31843.
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Thesis (M. S.)--Economics, Georgia Institute of Technology, 2010.Committee Chair: Vivek Ghosal; Committee Member: Byung-Cheol Kim; Committee Member: Chun-Yu Ho; Committee Member: Tibor Besedes. Part of the SMARTech Electronic Thesis and Dissertation Collection.
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Varghese, Matthew Joseph. "The Effects of Oil Supply Shocks on U.S. Stock Market Returns." Scholarship @ Claremont, 2012. http://scholarship.claremont.edu/cmc_theses/312.
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This paper attempts to assess the impact of price fluctuations in oil resulting from worldwide oil supply shocks on the real returns of the U.S. stock market, specifically the S&P 500, during the period of 1986 to 2011. While much past research has found an inverse relationship to exist between simply oil price increases and stock market returns, not many studies have been conducted that focus on the effects of shifts in oil supply. The model utilized, a variation of that used by Hamilton (2008), determines that changes in oil prices arising from oil supply shocks one quarter prior (t-1) and one year prior (t-4) have an effect on real stock returns. However, an F-test assessing the joint impact of the explanatory variables is unable to reject the null hypothesis that the joint effects of changes in oil prices arising from supply shocks have zero effect on the returns of the stock market.
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Hamilton, Gustaf, and Sean Winstanley. "How the Price of Crude Oil Affects the Swedish Stock Market." Thesis, Jönköping University, JIBS, Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-825.
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In late summer 2006 we experienced historically high oil prices, and due to this event we found it appropriate to investigate what influence oil price changes has on the Swedish stock market. The purpose with our research was to see the affect that oil price changes has on the Swedish economy, and if the influence of the oil price is still as strong as it used to be. To help us draw conclusions we have applied the Arbitrage Pricing Theory. With use of statistical analysis we have been able to examine the relation between oil prices and other macroeconomic variables, and how these affect the Affärsvärlden Generalindex. Our results show that oil has a significant influence, our regression analysis show that a 1 unit increase in the oil price results in a 0.08 unit decrease in Affärsvärldens Generalindex. Our study has also given us indications that the oil price effect on the Swedish economy has decreased since the mid 1980´s. We can also draw conclusions that since the 1970´s, society has moved from heavy oil dependency towards a more diversified usage of energy sources. The results for Sweden are in line with the influence of oil has on other world economies.
Under sensommaren 2006 erfarde vi historiskt höga oljepriser. Med denna händelse som grund fann vi det relevant att undersöka oljans påverkan på den svenska ekonomin. Syftet med denna uppsats var att se hur skillnader i oljepriset påverkar Sveriges ekonomi och om oljan fortfarande har en lika stark påverkan som tidigare. Som verktyg för att påvisa detta har vi använt oss av ”Arbitrage Pricing Theory”. Med hjälp av statistisk analys har vi kunnat se påverkan av oljeprisfluktuationer och andra makroekonomiska variablers påverkan på ekonomin. Affärsvärldens Generalindex har använts som definition av ekonomin. Våra resultat visar att oljan har en signifikant påverkan på svensk ekonomi, en 1 enheters uppgång av oljepriset resulterar i en minskning med 0,08 enheter på Affärsvärldens Generalindex. Vår studie ger även indikationer att oljeprisets påverkan har minskat sedan mitten av 1980-talet. Vi kan också utläsa att samhället har skiftat från ett tungt oljeberoende i energiförbrukning mot mer diversifierade typer av energikällor, detta sedan 1970-talet. Resultaten visar även att Sveriges relation till olja är i linje med andra världsekonomier.
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BARBETTA, EMILIA DE VASCONCELOS. "DIMENSIONING SAFETY STOCK OF OIL PRODUCTS: METHODOLOGY AND A CASE STUDY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=12306@1.
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Nesta dissertação são apresentados dois modelos de estoque
aplicados ao sistema de controle de estoques (Q, R), que
envolve a definição do tamanho de lote a ser encomendado a
cada vez e a ocasião de encomendar. Esses modelos têm
como objetivo a minimização do custo total anual formado
pelo custo de encomendar, de manter e de falta de estoque.
Os modelos são testados na sua forma completa e com
aproximações sugeridas por diversos autores e, em seguida,
os resultados são comparados. Além disso, é desenvolvida
uma formulação que busca simplificar a identificação dos
casos reais que podem utilizar as aproximações sugeridas
para estes modelos. Um dos modelos é utilizado para
definir níveis ótimos de estoque de derivados de petróleo
em uma refinaria da Petrobras e os resultados são
comparados com níveis de estoque praticados hoje
pela empresa.This dissertation presents two inventory models applied to the continuous review, order-point, order-quantity (Q, R), that define a fixed quantity to be ordered and the occasion to order. The objective is to minimize the total annual cost comprised by setup, backorder/stockout and holding costs. First, these models are tested with their complete formulation and compared with approximations proposed by many authors. Second, it is developed a formulation to facilitate the identification of real cases where approximation is recommended. Finally one of these models is applied to define optimum inventory levels of oil products in a Petrobras` refinery and results are compared with the level of inventory the company now holds.
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Abeng, Magnus O. "Oil price uncertainty, sectoral stock returns and output growth in Nigeria." Thesis, University of Surrey, 2018. http://epubs.surrey.ac.uk/845835/.
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This thesis examines the influence of oil price uncertainty shocks on sector stock return uncertainties and real output and provides new insights on how oil price uncertainty impulses are transmitted to the Nigerian macroeconomy. Five industry sectors namely banking, oil and gas, insurance, food beverages and tobacco, and consumer goods are investigated. The major contributions of this thesis include the decomposition of the effect of oil price change into sector stocks, application of second moment analysis, utilisation of high frequency micro-data and adoption of more than one econometric methodology. This deviates markedly from previous studies and unveils critical decision making information that was hitherto subsumed under the conventional macro-analysis approach. Three themes are examined for Nigeria using the multifactor model and the structural vector autoregressive framework. The first focuses on estimating sector stock returns sensitivity to oil price changes; the second analyses the effect of oil price uncertainty shocks on sector stock returns uncertainty, while the third assesses the effect of oil price uncertainty shocks on output growth. Significant policy issues include the overwhelming consequence of the oil price factor, the industry-wide negative effect of exchange rate and the near neutrality of interest rate effect. Evidence of price and exchange rate puzzles are clearly demonstrated. Though this poses a serious threat to the effective conduct of monetary policy in achieving the price and monetary stability mandate, they however, serve as potent tools for economic agents’ portfolio selection and management of investment risks. Suggested policy direction includes monitoring oil price movements, ensuring a stable foreign exchange market, and the removal of structural rigidities such as infrastructural bottlenecks and fuel subsidy programme. This would eliminate the perceived impediments to the effective conduct and implementation of monetary policy as well as enhance the seamless transmission of policy impulses to the economy.
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Wang, Jiayue. "Essays on oil price shocks and financial markets." Thesis, University of Edinburgh, 2012. http://hdl.handle.net/1842/6412.
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This thesis is composed of three chapters, which can be read independently. The first chapter investigates how oil price volatility affects the investment decisions for a panel of Japanese firms. The model is estimated using a system generalized method of moments technique for panel data. The results are presented to show that there is a U-shaped relationship between oil price volatility and Japanese firm investment. The results from subsamples of these data indicate that this U-shaped relationship is more significant for oil-intensive firms and small firms. The second chapter aims to examine the underlying causes of changes in real oil price and their transmission mechanisms in the Japanese stock market. I decompose real oil price changes into three components; namely, oil supply shock, aggregate demand shock and oil-specific demand shock, and then estimate the dynamic effects of each component on stock returns using a structural vector autoregressive (SVAR) model. I find that the responses of aggregate Japanese real stock returns differ substantially with different underlying causes of oil price changes. In the long run, oil shocks account for 43% of the variation in the Japanese real stock returns. The response of Japanese real stock returns to oil price shocks can be attributed in its entirety to the cash flow variations. The third chapter tests the robustness of SVAR and investigates the impact of oil price shocks on the different U.S. stock indices. I find that the responses of real stock returns of alternate stock indices differ substantially depending on the underlying causes of the oil price increase. However, the magnitude and length of the effect depends on the firm size. The response of U.S. stock returns to oil price shocks can be attributed to the variations of expected discount rates and expected cash flows.
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Huang, Juan. "The relationship between oil prices and stock/bond market: a sectoral analysis." Diss., Temple University Libraries, 2016. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/398066.
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EconomicsPh.D.
While numerous studies have investigated the impact of oil prices on the stock market, Chapter 2 is the first to examine the association between corporate bond yields and oil returns. We examine the association between oil-returns and corporate bond yields of four major U.S. industrial and financial sectors (including thirteen sub-sectors). Chapter 3 examines the reaction of stock markets in the U.K. and the Netherlands to a major composite event in the oil industry – the merger of the Royal Dutch Shell (RDSA) and the BG Group (BRGYY) on April 8, 2015, and the subsequent discovery of oil in southern England on April 9. We employ an exponential autoregressive conditionally heteroskedastic (EGARCH (1, 1)) framework in both Chapters, which allows for asymmetry of the effects between positive and negative external shocks including oil return shocks, shows the effects on both the yields/stock returns and their volatilities, and permits the persistence of the shocks to be measured. Three main results are obtained in Chapter 2. First, oil returns are significantly associated with the yield levels of corporate bonds issued in ten out of the thirteen sub-sectors considered within the oil-substitute, oil-related, oil-user, and financial services sectors. The three exceptions are the Petroleum Refinery, Building, and Chemical sub-sectors. Second, the return volatilities of corporate bonds issued in the Plastic & Rubber sub-sector demonstrate asymmetric responses to positive and negative shocks. To elaborate, negative shocks lead to lower volatility in the Plastic & Rubber sub-sector than positive shocks of the same magnitude. Third, the half-life, or the time it takes for the volatility of the portfolio of bonds in the Industrial Machinery sub-sector to move halfway back to its conditional mean after a shock is introduced, is 8.6 months. For bonds in all other sub-sectors, the half-life is less than 2.5 months. We obtain several results in Chapter 3. First, the composite event of merger and oil discovery generated significant abnormal returns in six out of the thirteen sub-sectors considered in the U.K. and three out of ten sub-sectors in the Netherlands. The remaining seven sub-sectors in the U.K. and the other seven sub-sectors in the Netherlands show no sensitivity in returns to the shock. Second, there is evidence of some information leakage about the composite event as demonstrated in the significant abnormal returns for Coal, Oil & Gas Extraction, Depository Institute, Chemical and Plastic & Rubber sub-sectors in U.K. and Coal, Depository Institute and Air Transportation sub-sectors in the Netherlands up to three days before the announcement of the composite event. Third, the behavioral patterns of four of the thirteen sub-sectors considered in the U.K. and four of the ten sub-sectors considered in the Netherlands demonstrate asymmetry in response to external shocks to their respective returns. These results have three main implications. First, investors holding bonds issued by the two sub-sectors with asymmetric oil shock effects need to add bonds from oil-related and oil-substitute sectors to lower the volatility of their bond portfolio because the latter do not exhibit asymmetry. Second, considering the overall finding of sensitivity to oil price changes, institutional investors need to examine the sensitivity of their bond portfolios to oil return changes and to guard against excessive risk. Similarly, corporations should monitor oil price variations and hedge the volatility risk accordingly. Finally, stock investors in the U.K. and the Netherlands might benefit from monitoring the key events that may affect the oil supply and oil prices, and acting accordingly.
Temple University--Theses
9
Petrovich, Ekaterina. "Crude oil futures price and stock market returns in Russia and China." View electronic thesis (PDF), 2009. http://dl.uncw.edu/etd/2009-3/r1/petroviche/ekaterinapetrovich.pdf.
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Altoyan, Abdulaziz S. "Impact of oil and other economic forces on the Saudi stock market." Thesis, University of Leicester, 2004. http://hdl.handle.net/2381/31113.
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The Saudi Arabian Stock Market went through several changes since the substantial increase of oil prices in 1973. This study firstly analyses the impact of oil revenue in developing the market and shaping its major characteristics. Secondly, it examines the effect of oil prices fluctuation and other macroeconomic variables as a determinant of stock return over the period between 1991 and 2000.;The main empirical findings indicate that the market risk premium is the most important factor in determining stock return. The influence of oil prices fluctuation over and above the market premium was explicit in firms belonging to subsidised sectors such as electricity and agriculture.;The impact of other economic variables varies among different firms listed in the market. Exchange rate has a significant effect on the banking firms while other variables have limited impact over and above the market on various companies, indicating that the effect of these variables are captured by market index. The results of empirical analysis become more explicit when replacing the market premium factor with market timing risk. In general, study suggests that under the current circumstances, the market premium is the most appropriate measure in determining the return in the Saudi Stock Market.
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Paytakhti, Oskooe Seyyed Ali. "The Iran stock market : efficiency, volatility and links to the international oil market." Thesis, Kingston University, 2011. http://eprints.kingston.ac.uk/22360/.
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This study investigates the behaviour of stock prices or stock returns in an oil exporting developing country (Iran). Following an examination of the role of the Iran stock market and oil revenues in the Iranian economy in chapter 2, the extensive review of theoretical and empirical literature on stock market efficiency is provided in chapter 3. Chapter 4 empirically investigates the efficiency of Iran stock market in weak form. Empirical findings from employing conventional and nonlinear unit root tests even in presence of endogenous and exogenous structural break pOints indicate that the daily Iran stock prices index follow random walk theory and Iran stock market is efficient in weak form. In view of the distributional characteristics of stock returns, chapter 5 models the volatility dynamics of the Iran stock market. Due to existence of risk premium, in this market investors with long horizon are compensated with high returns for bearing high risk. On the other hand, the empirical analysis shows lack of asymmetric volatility in the behaviour of Iran stock return series. In view of the dominant role of oil export revenues in Iranian economy, chapter 6 examines the possible dynamic relationship between the Iran stock market and international oil market. The results from adopting symmetric and asymmetric mUltivariate GARCH models based on underlying data generating process indicate lack of return and volatility spillover between Iran stock returns and international oil prices.
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Hälldahl, Petter, and Mohammad Refaet Rahman. "The relationship between crude oil prices and stock markets in Sweden and Norway." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172489.
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In this study, the authors examined the relationship between crude oil price and the Swedish and Norwegian stock markets. Using linear regression models the authors found that the Swedish stock market and Norwegian stock market both have a positive relation with crude oil price. This supports the hypothesis that crude oil price has a positive impact on Norwegian stock market, since Norway is an oil exporting country. However, this result contradicts a hypothesis of a negative relationship for an oil importing country like Sweden. The authors also looked into the relationship between exchange rates (Swedish krona and Norwegian krone) and oil price, which reveals that oil price is significantly negatively correlated with Swedish krona and Norwegian Krone. The study contributes with evidence from underexplored regions of the world.
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Al-Maadid, Alanoud. "Effects of oil prices, food prices and macroeconomic news on GCC stock markets." Thesis, Brunel University, 2016. http://bura.brunel.ac.uk/handle/2438/13635.
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This thesis is based on three papers examining Gulf Cooperation Council (GCC) financial markets. The member countries of the GCC are Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates. These countries have transitioned from developing to frontier markets over the past ten years, but there is considerable debate about whether GCC economies are efficient or affected by shocks in oil and other commodity markets. The first paper (chapter 2) considers GCC stock market returns and examines how they are affected by oil price shocks using a bivariate VAR-GARCH(1,1) approach. The conclusion of this essay is that GCC economies are more affected by shocks than are other countries considered for comparison purposes. The second paper (chapter 3) discusses how food prices are affected by oil price shocks, and it examines possible parameter shifts between food and oil that result from four recent events, including renewable fuel policies and the financial crisis. The third paper (chapter 4) uses an empirical approach to compare a least squares model and a non-linear Markov switching model to measure the effect of newspaper sentiment on stock market performance. The results indicate that all information is important to stock market investors and that non-linear models are better predictors of stock market performance then linear models when using data from newspaper articles. Chapter 5 offers some final conclusions and remarks.
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Baghchesara, Sherwin. "Evaluating ESG Related Events' Significance for Oil Companies in Relation To Stock Price Changes." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-254276.
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ESG risks, which stands for environmental, social, and governance, has in recent years exploded as a conversational topic. Including ESG efforts in company reports, and being transparent about operations is not as foreign as before. However, companies operating in controversial sectors and areas, known to have great environmental impact, face increased pressure to comply with the ESG values. One sector would be the oil sector, which is known as one of the most controversial sectors in regards to social and environmental issues. Disastrous events, such as spills and deaths following operations, have spread fast and sometimes hit hard on stock prices. The report will assess changes in stock prices in relation to changes in ESG-risk scores and ESG news for a selected number of companies, as well as a few macro variables. For this, a multiple regression analysis will be carried through. The thesis concludes in a model in which the ESG variables cannot explain overall stock movements; the variables that are shown statistically significant are mainly macro variables. However, certain stock movements that are marked as influential points by the model, which in this case all were rapid stock movements, seem to be reflected better on the changes of the ESG variables, which paves the way for further research.ESG-risker, som står för miljö (enviromental), sociala (social) och styrning (governance), har under senare år blivit ett återkommande konversationsämne både på arbetsplatser och i undervisning. Transparens i årsredovisningar och tydliga ställningstaganden i miljömässiga och etiska frågor är inte längre lika främmande. Företag som verkar inom kontroversiella sektorer och områden, som är kända för att ha stor miljöpåverkan, står inför ett ökat tryck att bejaka dessa växande ESG värderingar. Den sektor som behandlas här är oljesektorn, känd som en av de mest kritiserade sektorerna när det gäller sociala och miljömässiga frågor. Katastrofhändelser, såsom oljespill, sprider sig i dag snabbt och påstås påverka aktiekursändringar. Rapporten kommer att bedöma förändringar i aktiekurserna i förhållande till förändringar i så kallade ESG-riskpoäng för ett antal utvalda företag, genom att utföra en multipel regressionsanalys. Makrovariabler som bedöms relevanta tas även hänsyn till. Avhandlingen avslutas i en modell där ESG-variablerna inte kan förklara de totala aktiekursrörelserna. De variabler som visar statistisk signifikans är huvudsakligen makrovariabler. Snabba aktierörelser som i huvudsak inte följer regressionsmodellen verkar däremot emellertid bättre förklaras av ESG-variabler eller händelser, vilket banar väg för ytterligare undersökningar.
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Suleiman, Hassan. "Oil price shocks, exchange rate dynamics and stock market behaviour : empirical evidence from Nigeria." Thesis, Abertay University, 2012. https://rke.abertay.ac.uk/en/studentTheses/239cb4ff-47e7-4512-a187-1cf3ec6e99bd.
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This thesis explores the relationship between oil price shocks, exchange rate dynamics and stock market behaviour in Nigeria using a variety of econometric specifications. The response of exchange rates and stock markets to oil price fluctuations is an issue of great interest to policy makers, monetary authorities and investors in both oil exporting and oil importing economies. Despite over 30 years of empirical research, there is still no consensus on their relationship, in addition there have been limited empirical efforts exploring this relationship for Nigeria. First, the thesis applies a Multivariate Vector Error Correction Model (VECM) and a Structural Vector Autoregression (SVAR) to investigate the interaction between real oil price, real exchange rate and productivity differentials. On the one hand results from the VECM suggest that, as predicted by the theoretical literature, oil price exercise a significant positive influence on Nigeria’s real exchange rate but contrary to the Balassa-Samuelson hypothesis, productivity differential exerts a significant negative influence on Nigeria’s real exchange rate. On the other hand, results from the SVAR analysis using short run restrictions do not offer much support for the theoretical literature on the impact of oil price shocks on exchange rates. The response of real exchange rate and productivity differentials to an oil price shock although positive is not statistically significant. Second, the thesis applies Generalised Autoregressive Conditional Heteroscedasticity (GARCH) class models to explore the influence of oil price return on exchange rate return in Nigeria during periods of extreme oil price volatility. Empirical estimates suggest that over the study period oil price return in Nigeria exercised a significant negative influence on exchange rate return. Third, on the relationship between oil price shocks and the stock market, the thesis employs a multivariate VAR along with a Generalised Impulse Response Function (GIRF) and Variance Decomposition (VDC) as well as an Ordinary Least Square (OLS) and Quantile Regression (QR) technique to examine the role of oil price on the Nigerian stock market. Results of the VAR analysis, OLS and quantile regression indicates that oil price changes do not play an important role in affecting real stock return in Nigeria. However, by employing the QR technique on a recent sample, overall results point to the importance of negative oil price changes in explaining movements in the Nigerian stock market lending credence to the view that the impact of oil price on the stock market occurs in the short run. Finally the thesis applies a DCC-IGARCH (1,1) to evaluate the dynamic correlation between oil prices and the Nigerian stock market. The dynamic correlation findings demonstrate a number of notable positive and negative correlations between the two. While the Nigerian stock market does not always move in the same direction with oil price, correlations between the two tend to increase and decrease over time. The results of this study are of value to policy makers and investors who are interested in understanding the response of exchange rates and stock markets to an oil price shock in Nigeria. In addition, the results are also transferable and generalizable to other oil exporting economies.
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Mokengoy, Mardochée Bopo. "Volatility transmission between the oil price, the exchange rate and the stock market index." Master's thesis, Université Laval, 2015. http://hdl.handle.net/20.500.11794/25856.
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Ce mémoire analyse la transmission de volatilité entre le prix du pétrole, le taux de change et l’indice boursier au Canada et aux États-Unis de 1999/01/04 à 2014/03/21. En utilisant un modèle MGARCH-BEKK, nos résultats montrent qu’au Canada, il existe une transmission bidirectionnelle de volatilité entre le taux de change $US/$CAD et l’indice boursier TSX, une transmission positive de l’indice boursier au prix du pétrole, ainsi qu’une transmission négative du taux de change au prix du pétrole. Les résultats suggèrent également que ces relations ne sont pas stables dans le temps. Pour les États-Unis, le modèle estimé ne satisfait pas la condition de stationnarité de la covariance pour la période totale et la sous période 1999/01/04 – 2002/10/08. C’est pourquoi nous considérons uniquement les résultats des sous périodes 2002/10/09 – 2008/05/30 et 2008/06/02 – 2014/03/21. Il ressort qu’il existe des transmissions de volatilité, mais que celles-ci ne sont pas stables dans le temps.This thesis analyzes the transmission of volatility between oil prices, exchange rates and stock market indices in Canada and in the USA for the period 1999/01/04 – 2014/03/21. Using a multivariate GARCH – BEKK model, we find that in Canada, there is a bidirectional transmission of volatility between the exchange rate $US/$CAD and the stock market index TSX, a positive transmission from the stock market index to the oil price and a negative transmission from the exchange rate to the oil price. We find also that these relationships are not stable over time. For the USA, the model estimated does not satisfy the condition of covariance stationarity for the entire sample and the sub sample 1999/01/04 – 2002/10/08. So we consider only results for sub samples 2002/10/09 – 2008/05/30 and 2008/06/02 – 2014/03/21. Results show that there are transmissions of volatility, but here again, these relationships are not stable over time.
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Perez, Tomas Rene. "Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument." Miami University / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=miami1595877677072786.
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Zivot, Harrison A. "Analysis of Acquirer Stock Performance in Mergers and Acquisitions in Alberta's Oil and Gas Industry." Scholarship @ Claremont, 2010. http://scholarship.claremont.edu/cmc_theses/22.
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This paper develops a framework that analyzes how mergers and acquisitions in Alberta’s oil and gas industry affect stock prices. In this experiment, a multivariate regression is applied to several industry-specific variables to determine if they have impacts on the abnormal stock returns of acquirers. The results show that abnormal returns 5 days prior to the public announcement of the transaction are, in fact, driven by several industry-specific variables. However, the returns immediately after the M & A announcements are similar to previous research done in other industries. Acquirers’ gains 2 days after the announcement are essentially unaffected by the transaction. After a 90-day period, the share performances of acquiring firms tend to beat the index by 7% on average, but this is not thoroughly explained by the variables in the regression analysis.
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Huang, Min-Hua, and 黃敏華. "The Linkages among Oil Spot, Oil Future, and Stock Markets." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/72188065521882472425.
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碩士中原大學
國際貿易研究所
94
This study aims at finding out the linkages among oil spot, oil future, and stock markets. By using international oil spot, oil future, and market indices in different countries, and categorizing them into 3 separate models, the effects of price shocks originating from oil spot and oil futures markets on stock indices in different countries are examined. We use unite root test, cointegration test, VAR and VEC models to figure out the long- and short-term relationships among the variables of interest. The data are collected from July 21, 1999 to June 26, 2006. Our empirical results indicate that 1. According to unit root test, after first differences, the original variable series all became stationary ones. And the results of cointegration test show that there is a long-term equilibrium relationship among oil spot, oil future, and market indices in each country. Also, the long-term equilibrium relationship exists among oil spot, oil future, market indices, and market index futures in each country. 2. VEC model results indicate that short-term oil spot is overvalued and adjust to next session with a particular speed when oil spot is far away from long-term equilibrium. 3. According to the variance decomposition of forecast errors, in the model of market index and oil spot and futures, the most important factor is oil spot no matter there is a spontaneous interference of oil spot or oil futures. Up to 98% of market index can be explained by its spontaneous interference. In USA and Taiwan, no matter spontaneous interference exists in oil spot or oil futures, the most important factor is still the oil spot. However, in Japan, the essential factor is oil futures instead. 4. After observing the impact reactions among each variable when the spontaneous interference happens in oil futures, oil spot is influenced the most by oil future. Considering the market index futures while the spontaneous interference happens in market index, the impact of market index futures is affected most by the market index.
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Chen, Yi-Chin, and 陳意晴. "Information uncertainty, volatility connectedness of oil stocks, and stock-bond return relation." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/b2c9ab.
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碩士銘傳大學
財務金融學系碩士班
107
This paper examines whether time-frequency dynamics of volatility connectedness for oil companies has an influence on stock and bond returns. Motivated by Křehlík and Baruník (2017), this paper hypothesizes that short- and long-term volatility connectedness contain different information flows. To measure the dynamic volatility connectedness in the frequency domain, the econometric model suggested by Křehlík and Baruník (2017) is employed. To take the extent of the uncertain information hypothesis proposed by Brown et al. (1988) into considerations, the ordinary least-squares (OLS) regression model with quadratic term and regression kink model proposed by Hansen (2017) are used in the paper. According to Chen (2014), the oil-sensitive stock price is associated with market conditions and macroeconomic news and is informative in tracing future changes in crude oil prices. This paper using the stocks of the AMEX oil index for the analysis of volatility connectedness in the frequency domain. The empirical results show volatility connectedness of oil stocks has impact on the stock-bond relation and volatility connectedness is related to information transmission mechanism, short-term volatility connectedness is associated with good news whereas long-term volatility connectedness is correlated with bad news. The results also reveal that investors’ reactions are an overreaction to bad news and an underreaction to good news on stock and bond markets, respectively. Therefore, our findings are in support of the uncertain information hypothesis proposed by Brown et al. (1988) and flight-to-quality in bad news as well as flight-from-quality in good news phenomena.
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Tussupov, Amir. "The oil price shocks impact on stock market returns in developed oil-exporting and oil-importing countries." Dissertação, 2016. https://repositorio-aberto.up.pt/handle/10216/83806.
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Tussupov, Amir. "The oil price shocks impact on stock market returns in developed oil-exporting and oil-importing countries." Master's thesis, 2016. https://repositorio-aberto.up.pt/handle/10216/83806.
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Hsieh, Chia-Hsuan, and 謝佳璇. "Dynamic Relationships between Stock Market and Oil Futures." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/71998798397898374257.
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碩士長庚大學
企業管理研究所
95
The primary aim of this paper is to investigate the dynamic relationships between the prices of WTI (West Texas Intermediate) crude oil futures and the stock market returns in the developed and emerging economies using unit root test, cointegration test, vector error correction model and Granger-causality test. The samples were collected from January 1, 1997 to December 29, 2006. The empirical results indicate that all variables are non-stationary but their first differences are stationary. Based on cointegration test, the long-term relationship existed among oil futures, S&P 500, and the stock market returns only in three emerging markets prior to the 911 attacks. However, there was a long-term equilibrium relationship among oil futures, S&P 500, and the stock market returns in each country after 911. Analysis of vector error correction mechanism shows that oil futures, stock market returns, and S&P 500 adjusted to correct disequilibrium among the three variables. Granger-causality test reveals a one-way causal direction from oil futures to the stock markets of Argentina, Brazil, Malaysia, Russia and South Africa after 911 while there were bi-directional causalities between S&P 500 and the stock markets in seven developed and emerging countries.
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CHO, CHIA-HSU, and 卓家旭. "Research on Lubricating Oil Stock Control – Taking Lubricating Oil Blending Plant as an Example." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/qunj23.
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碩士國立高雄科技大學
運籌管理系
107
In the present working environment, lubricating oil present a dispensable role in the industry. Base on different working environment and equipment, corresponding type of lubricating oil is necessary. Besides, under certain circumstances and different users' demand, the supplier of Lubricating oil must adjust the process for every type of oil, offering OEM services. Due to the reason as above, the production of synthetic lubricants will be complicated. Various type of product and numerous stock demands are also the problems for small to medium enterprise (SME). How can we meet customer’s requirements and control the stocks as well, it’s an important question. It will reduce the service quality and lost some customers if we experiment the test with a real company. As a consequence, we test and evaluate the efficient in simulated transmission system. This study uses “Gradient descent”, according to the data we obtain before, simulate the new data and keep testing until the suitable storage method emerged. Also improve the ordering activities and storage management problem in accordance with the result of simulation.
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Sio, Cheng-Ian, and 蕭正仁. "The Impact of the oil Price on Stock Returns: Evidence in Taiwan Stock Industry." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/51379060646877372775.
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碩士國立臺灣大學
財務金融學研究所
101
The purpose of this paper is to examine how international and domestic oil price impact the stock return in each industry listed on the Taiwan stock market respectively from 2001 to 2011 and investigate the extent of impact of the domestic oil price subsidies by Taiwan Government upon each industry in order to provide an important reference basis for the future policies of oil subsidy. In addition, this paper will explore whether the changes in oil prices will bring a lagged effect upon the return in Taiwan''s stock market, so that its efficiency can be examined.
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CHIA-LIN, HSU, and 徐嘉臨. "The Dynamic Relationships among Crude Oil Prices,Petroleum stock Prices,and Solar Stock Prices." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/28709142495575343846.
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碩士開南管理學院
企業管理學系碩士班
94
The world crude oil price keeps rising constantly. Therefore the fluctuation of the world crude oil price is definitely an important issue to the macro-teconomy and industries in Taiwan. the purpose of this study is to examine The Dynamic Relationship among the price shocks of Crude Oil Prices Oil Price Shocks、Petroleum Industry、Solar Industry .The research methodologies of this paper are Unit root、cointegration、Granger Causality Test、vector autoregression model. The investigation period spans from 2000 to 2006. The empirical findings are summarized as follows：There are long equilibrium relationships within oil Price、stock price of solar industry and petroleum industry. Granger causality test indicated that solar industry dominant role in Oil Price、Petroleum Industry .The result of Impulse Response Analysis finds that the relation of the inter-actions of stock markets in solar Industry than Petroleum Industry；the result of Variance Decomposition suggests that solar industry are changed easily by oil price and Petroleum Industry.
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Chen, Yi-Chung, and 陳宜君. "The Impact of the Oil Price on Stock Returns." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/85575941876637559718.
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碩士國立中興大學
高階經理人碩士在職專班
97
The Impact of the Oil Price on Stock Returns Student : Yi-Chun Chen Advisor : Dr Chyi-Daniel Doong Graduate Institute of Finance, National Chung Hsing University Abstract Petroleum plays a great part in human life and the economic activities. The price of oil affects the production cost to the manufacturing and therefore changes the cost to all industries. It influences a lot to the economic environment. This paper directly argues how oil price affects the stock indexes, and takes a look into the stock markets in Taiwan. The data used in the analysis include information on the stock indexes of Taiwan (TSEC) and the WTI spot price of crude oil. I examine for the period from the first day of 1999 through the end of 2005. I separate the time period into two. One is from 2002 through 2005 as the price increasing sub-period, and another is from 1999 through 2001 as the stable price sub-period .The other from 2006 through 2008 as the price increasing sub-period This paper adopts some of the empirical methods for time series to examine the cross relationship between the indexes in Taiwan. and the crude oil price. Keywords: The price of oil ; Stock ;VAR model; Standard deviation; Crude Oil
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LIU, FANG-LING, and 劉芳玲. "Asymmetry between Oil Price, Exchange Rate and Stock Return." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/9xf3w7.
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碩士逢甲大學
財務金融學系
105
This thesis aims to investigate the relationship and asymmetry between crude oil price, exchange rate and stock return. We adopt daily data on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), Brent oil price and foreign exchange rates for U.S. Dollar, Euro and Japanese Yen against New Taiwan Dollar covering the period from 1994 to 2016. We study the asymmetry between oil price, exchange rate and stock return by using vector autoregression and threshold autoregression. The result shows that there exists significant asymmetry between crude oil price, exchange rate and stock return under some threshold levels. By considering the threshold effect, we can observe the asymmetry relationship between varibles.
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Ying-Chien, Liang, and 梁熒倩. "A double-threshold GARCH model of stock market and oil shocks on Asian stock returns." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/78658358318203374698.
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碩士嶺東科技大學
財務金融研究所
97
This research uses the Threshold-GARCH model to discuss how the West Texas Intermediate crude oil price volatility affects the stock index returns in Asia and the stock index returns in America - American S&P 500. We aim to find out whether there exists the characteristic of asymmetry between the oil price volatility and the stock index returns in America and five countries in Asia by analyzing data of the West Texas Intermediate crude oil prices and stock index returns in different countries. The real diagnosis shows that (1) the stock index returns in Asia are is positively affected by the previous stock index return in America under all models. (2) different types of relationships under some certain models: the stock index return in Hong Kong is negatively affected by the oil price volatility; the stock index return in Taiwan is negatively affected by the oil price volatility (3) the stock index returns in Asia are all affected by the positive and negative news about the stock index returns in American. (4) the stock index returns in Asia relating to the positive and negative news surely have the characteristic of asymmetry.
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Molepo, Makgalemele. "Oil price shocks, oil and the stock market volatility relationship of Africa's emerging and frontier markets." Thesis, 2017. http://hdl.handle.net/10539/23098.
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Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017The study examined the relationship between oil price shocks, volatilities and stock indices in the African emerging markets. The ARDL and Bivariate BEKK GARCH models are used in this study. The countries examined are Botswana, Egypt, Mauritius, Morocco, Namibia, Nigeria, South Africa, Tanzania, Kenya, Ghana, Tunisia, and the MSCI’s World Index. The study shows a bidirectional relationship between oil price shocks for Nigeria and the MSCI, but unidirectional flow from oil price shocks to Botswana, Egypt, Mauritius, Morocco, Namibia, South Africa, Tanzania, Kenya, Ghana, and Tunisia. In addition, there is evidence of unidirectional volatility spill over from oil returns to Botswana, Namibia, Tanzania, Mauritius and Kenyan, Nigeria, Tanzania, Kenya and Ghana. Finally, the study found bidirectional volatility between oil and index returns in MSCI, South Africa, and Tunisia.
MT2017
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Chi, Hui-Chun, and 紀慧君. "The correlation between crude oil stock ,future and related industry." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/40401190998124650151.
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碩士淡江大學
財務金融學系碩士在職專班
95
This paper adopts heavy tail distribution to discuss the volatility of crude oil stock、future and crude oil related industry stock price index. Further, I adopt Bai and Perron (1998) model, divided structure transition, using the crude oil stock as a benchmark and analyze the discrepancy between the volatility of before-rise and after-rise and volatility correlation between the crude oil stock, future and crude oil related industry stock price index. Finally, I select the vast events in the period of sample, discussing the DV and JP during events. Besides, after the crude oil stock, future and crude oil related industry stock price’s index rise, the average DV and JP are smaller. In the aspect of huge influence of heavy events, 911 is the roughest one. Pearson interaction test shows the reverse relationship between the volatility of future, stock and index.
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Tsai, Bing-Chin, and 蔡炳欽. "Contagion Effects in Stock Markets during the Oil Shock Period." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/20055645885985086546.
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碩士嶺東科技大學
財務金融研究所
97
This paper investigates Contagion Effects in Stock Markets during the Oil price Shock period, selecting the samples of American stock market and four Asian country stock market, including Taiwan, Hong Kong, Japan, and Singapore. There are 1940 materials on daily stock price index, during January 1, 2000 to December 31, 2008. By using Zivot and Andrews Structural break test method, the common time point of structural changes that was found in May 17, 2004. To be aimed at the effects of American stock price return on the four countries of Asia, separately in the period before oil price shock, the whole period oil shock and the period after the oil shock, individually analyze the contagion transmit effect of the return. GARCH model empirical findings show that the estimated coefficient between Asian stock return and American stock return demonstrate a significant increase or decrease of the contagion effect .
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Dong, Siou-Ci, and 董修齊. "Metal Catalysts for Co-processing Cooking-Oil With Petroleum Stock." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/xtpjvv.
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碩士國立中正大學
化學工程研究所
102
The main goal of this study is to develop pellet zeolite-supported Pt catalysts for hydrogenation of atmospheric distillation Oil (ADO) concomitant with hydro-deoxygenation of waste cooking-oil. The zeolite support was pelletized by binding HY zeolite particles with silica or alumina binder and following with extrudation. Because of aromatics and sulfur containing in feed stock, the main tasks of catalyst design is to alleviate catalyst deactivation caused by coke-deposition and sulfur-poisoning. By testing the catalyst by toluene disproportionation reaction at atmospheric pressure and 500 oC in a continuous fixed bed reaction system, we found that the catalyst prepared from silica binder exhibit relatively less coke formation and thus slow deactivation rate as opposed to alumina binder. Characterized the catalysts by NH3 temperature programmed desorption (TPD) and the coke by temperature programmed oxidation (TPO), the relatively low coke formation for silica binder is mainly due to less weak acid sites formation in catalyst pellization process. The Pt catalyst was prepared by incorporating Pt precursor (H2PtCl6) into HY pellet and following by drying, calcination, and hydrogen reduction. Pd was also added to the Pt catalyst for the comparison the sulfur resistance of the catalysts. Tetralin was used as a model compound for testing hydrogenation activity, while 200 ppm sulfur containing compound and 20 wt% cooking oil were used for testing sulfur resistance and for hydro-deoxygenation activity. The test reaction of sulfur resistance was conducted and carried out in a continuous fixed bed reaction system at 480psig, 300 oC, WHSV= 4h-1, and H2/Oil=5.8； The test reaction of hydro-deoxygenation activity was conducted and carried out in a continuous fixed bed reaction system at 400psig, 240-360 oC, WHSV= 0.6h-1, and H2/Oil=5.31. Besides NH3-TPD and coke-TPO, zeolite structure, morphology of metal clusters and surface properties were characterized by XRPD, EXAFS, and FT-IR, respectively. Combined with catalytic performance tests, the following conclusions were reached: 1. Catalytic hydrogenolysis of fatty acid ester results in a formation of paraffinc compounds while oxygen react with tetralin to form oxygen-containing compounds. 2. Sulfur resistance of Pt catalysts is related to the morphology of Pt clusters and the catalysts prepared from Ludox binder exhibit higher sulfur resistance and lower coke formation rate. 3. The sulfur resistance of Pt catalysts can be improved by the addition of Pd to the catalysts, whereas Pd precursors and pretreatment conditions greatly influence the formation of Pd-Pt interactions; Pd-Pt interactions were examined by Pt-Pt corrected Fourier transform of EXAFS spectra.
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Ni, Min-Yu, and 倪敏毓. "Oil Price Risk in the Emerging Stock Market：An Industry Perspective." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/mq49md.
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碩士大葉大學
國際企業管理學系碩士班
103
This study analyzes the effects of international crude oil price shocks on Venezuela industry-level stock returns for the period December, 1994 to December, 2014. The approach taken in this article utilizes an international multi-factor model that allows for risk factors to explore the nexus between international crude oil price and industry-level stock returns. Our findings show that at the industry-level, the response of industry-specific returns to oil shocks are significantly negative for only 1 out of 7 industries. Our study also provides evidence that oil price volatility have symmetric effects on industries of consumer goods and telecom. These results are useful for individual and institutional investors in optimizing portfolios.
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LIN, DING-HAN, and 林鼎翰. "Analysis of Crude Oil Price and Emerging Asian Stock Markets." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/gm72f3.
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Sari, Novia Nur Fitriana, and Novia Nur Fitriana Sari. "Epoxy Tung Oil Ethyl Ester as Bio-Lubricant Base Stock." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/2yw2vd.
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碩士國立臺灣科技大學
化學工程系
106
Epoxy tung oil ethyl ester (ETOEE) was produced by using tung oil ethyl ester (TOEE) and reacted with formic acid (FA) and hydrogen peroxide that was employed without catalyst. This study used two steps: transesterification with ethanol and KOH as catalyst followed by epoxidation. The transesterification was carried out at a molar ratio of tung oil to ethanol of 1:20, 60oC for 2 h. The highest conversion and yield are 93.6% and 87.2%, respectively which were obtained by using 5.86 g of formic acid, 14.5 g of hydrogen peroxide and 10 g of TOEE with reaction maintained at 50oC for 3 h. The objective of the research was to enhance the thermal-oxidative stability, kinematic viscosity, and analyze viscosity index of tung oil. Thermal-oxidative stability results were confirmed by using thermo gravimetric analysis (TGA) method under nitrogen and oxygen atmosphere. The presence of epoxy group and double bonds removal were clarified by using Fourier-transform infrared spectroscopy (FTIR). The kinematic viscosity was confirmed by using modular compact rheometer (MCR).
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Lan, Sho-Chun, and 藍淑君. "Influence of International Oil Price on Taiwan’s Plasticizing Stock Price." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/fdf4rp.
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碩士樹德科技大學
會展管理與貿易行銷碩士學位學程
106
International crude oil price and energy industry and petrochemical industry basic raw material price has the mutual relation, the oil price fluctuation will directly affect the upstream manufacturing industry the production cost, and causes the related industry the production cost also to rise or fall of change, even to the economic boom caused greater impact. The reaction of oil price fluctuation to the production cost of petrochemical industry is more direct and rapid, because petrochemical basic raw material products such as ethylene and propylene are quite sensitive to the fluctuation of crude oil price and their reaction speed is also quicker. The fluctuation of oil price not only affects the performance of the whole economy, but also the plastic industry because oil is its main raw material and Taiwan is highly dependent on oil imports; therefore, the fluctuation of energy price is an interesting and important topic for the effect of the stock price performance of the plasticizing industry. The analysis results show that the conditional variability of three kinds of international crude oil quotations are all positive numbers. The impact of the previous period on the volatility of the current period is not a cluster of fluctuations, and the more sustained volatility impact, the slower the decline in volatility. The above analysis shows that Taiwan''s share price is affected by the effects of crude oil futures, whether it is in West Texas, Dubai or the price of Brent crude, but relatively, Taiwan is less affected.
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HUNG, YU-CHI, and 洪毓麒. "The Correlation Between Crude Oil Prices and International Stock Index." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/50718013364337178265.
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碩士實踐大學
財務金融學系碩士班
104
Through the co-integration test results of a single test, this study decided to use Vector Autoregression Model to explore the fluctuations in crude oil prices will impact stock markets, while countries including France CAC40 stock market index (CAC), the German Xetra Dax Index (DAX ), the British FTSE 100 (FTSE100), the US Dow Jones industrial Average (INDU), the Nikkei 225 (NKY), Chinese Shanghai composite stock Price index (SSI), Taiwan's weighted index (TAIEX) and Saudi-Arabia stock index (TASI); crude oil prices take Brent oil (BREN) and US West Texas crude oil (WTIC), so are all variable date information. And the collapse of Lehman Brothers benchmark, and then divided, with the whole period without making the cut a total of three groups for analysis before the financial tsunami. Through VAR(1) analyzed, studies show no significant fluctuations in the price of crude oil shocks for stock markets, but with very different results later found investigate before cutting into financial crisis. Before the financial crisis the stock market will be affected by major international North Sea Brent crude oil, but after the financial tsunami, the North Sea Brent crude oil to the international influence of the stock market decline, West Texas crude oil to the United States on the international stock markets have a stronger influence. These results are available between management and investors as a reference.
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CHEN, YI-HUI, and 陳怡憓. "The linkages among the return of oil price, energy futures, stock index futures and stock markets." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/54090181892049875569.
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碩士國立彰化師範大學
企業管理學系
95
This study analyzes the linkages among the return of oil prices, energy futures, stock index futures and stock markets. The Cointegration test, Granger causality test, the impulse response function, and variance decomposition of forecast error are utilized to examine the relationships among those markets. The data covers the period from January 2, 2004 to December 29, 2006. The empirical results are as follows: 1. WTI crude oil is cointegrated with heating oil, light sweet crude oil and unleaded gasoline futures. Similarly, Brent crude oil, WTI crude oil, light sweet crude oil futures, and unleaded gasoline futures are cointegrated with both S&P500 index and its futures. 2. WTI crude oil Granger cause heating oil, natural gas, and unleaded gasoline futures; Brent crude oil Granger cause both Taiwan weighted stock price index spot and its futures; WTI crude oil Granger cause Taiwan weighted stock price index and Nikkei225 index and their futures; light sweet crude oil futures Granger cause both S&P500 index and Taiwan weighted stock price index futures. 3. Energy futures are negative influenced by crude oil. Equivalently, Taiwan weighted stock price index spot and futures are negative influenced by both crude oil and energy futures. 4. The heating oil futures and light sweet crude oil futures shocks account for nearly 62% and 86% variance of the WTI crude oil, respectively.
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Suttidetputtakun, Watcharuthai, and 蘇薇茹. "Empirical Linkage between Oil Prices and Stock Market Returns: Evidence from Stock Exchange of Thailand (SET)." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/39568744055092236219.
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碩士銘傳大學
國際企業學系碩士班
105
The purpose of this thesis is to examine the linkage between the oil price shocks and stock market returns in Stock Exchange of Thailand (SET). Due to Thailand is the oil importer country so that it has the possibility and high potential of the impact on stock market returns by oil price fluctuation. The observation is on daily basis over the period January 1, 2007 to June 30, 2016 with 11 industrial sectors from SET. The unit root of time series is tested for stationary by Augmented Dickey-Fuller (ADF), Phillips-Perron (PP), and Kwiatkowski-Phillips-Schmidt-Shin (KPSS). The unrestricted vector autoregressive (VAR) model with five variables: the return of stocks, the return of SET index, the rate of change in oil price, the rate of change in the exchange rate, and interest rate – is used to assess the different effects. The study employs the Toda and Yamamoto (1995) methodology to uncover the direction of causal relationship between oil price changes and firm’s stock returns. The empirical results show that oil price shock Granger cause the return of the SET index for 100%. While oil price shock unidirectional cause stock return for 47 companies (about 28.5% in the sample). Most of the companies are from Agribusiness, Energy & Utilities, and Automotive industries by 78%, 55%, and 40% of total firms in each industry respectively. This proves that the oil price changes impact on the stock returns differently by sectors. The link between oil price changes and interest rate, there is a unidirectional causality since the past values of oil can cause the interest rate for 100% but on the opposite way is only 1.2%. Moreover, the relationship between oil price shocks and exchange rate changes is also a unilateral causality. Finally, the evidence also shows the stock returns for the large-cap firm are affected by oil price movement more than the small-cap firms.
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Yun, Wang, and 王筠. "Connect with analysis of the oil price and stock price - major crude oil supply and demand country." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/88313196832642963729.
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Lu, Yen-ming, and 盧彥銘. "The relationship among Russian stock index,oil price and US stock indices -A Cointegration and VECM Analysis." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/17880318015315115383.
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碩士淡江大學
俄羅斯研究所碩士班
97
The purpose of this research is to find out the relationship among the Russian stock index, oil price and US stock indices. The Russian Trading System Index (RTSI), The National Association of Securities Dealers Automated Quotations system (NASDAQ), Dow Jones Industrial Average (DJIA) and West Texas Intermediate (WTI) are used in the research as the proxies of Russian stock index, US stock indices and oil price, respectively. The report implements cointegration and Vector Error Correction Model (VECM) to analyse these variables. Our findings follow. 1.The unit root test finds that all variables are not stationary and are I(1) series. 2.The Johansen cointegrating test finds there exists a long-term equilibrium among NASDAQ, DJLA, WTI and RTSI. 3.VECM shows that when RTSI deviates its long-term equilibrium, WTI is the major force which pushes RTSI back to its equilibrium. 4.The impulse response function test shows that NASDAQ is the major determinant of RTSI. 5.The variance decomposition test finds that in the short-term RTSI is heavily impacted by itself, rather by other variables, but in the long-term by both itself and the oil price. 6.Finally the Granger causality test finds there is a feedback relationship between RTSI and NASDAQ. An unidirectional causality runs from DJIA and WTI, and the effect of WTI is statistically more significant than that of DJIA.
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Li, Yi-Wen, and 李意雯. "The Analysis of Relationships among the Price of Crude Oil, Taiwan Stock Index, and U.S. Stock Index." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/21812037364864654965.
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碩士銘傳大學
財務金融學系碩士在職專班
101
Generally, economic recovery is accompanied with strong economic growth, which raises demand of raw materials and thus raises demand of oil. According to the economics theory of supply and demand, if supply is unchanged, increasing the demand of oil leads to higher oil prices. It seems good for the economy recovery. However, most previous empirical results indicate that the increases of oil prices have the adverse impacts on the economy or stock markets. The purpose in this paper is to provide more information to investors whether, during the economic expansions and recessions identified by the proxy of oil demand, the change of oil prices will have different impacts on Taiwan Stock Index and Dow-Jones Industrial Average Index. Taiwan Stock Index, Dow-Jones Industrial Average Index and the daily prices of West Texas crude oil are included as our research data. Our results indicate that, in the oil demand falling period, there exist long-run relationships among above variables, also the dynamic responses of Taiwan Stock Index and Dow-Jones Industrial Average Index to the impulse of WTI price. In addition, regardless of economic prosperity or adversity, Taiwan Stock Index will be affected and forecasted by Dow-Jones Industrial Average Index. Although the variable impact itself is larger than other variables, it is still evident that the correlation of Taiwan Stock Index, Dow Jones Industrial Average Index and West Texas crude oil prices is larger in the economic prosperity.
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Lin, Pei-Chun, and 林佩君. "The Relationship among International Oil Price and Stock Indices in Taiwan." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/09258112488097902666.
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碩士中原大學
國際貿易研究所
97
The goal of this research is for the correlation between oil price and relevant stock index of Taiwan. In order to understand the influence of oil price fluctuation, selecting the daily material during January 3, 1998 to June 30, 2008 by cointegration and error correction model. The relevant industry is including plastic, iron and steel, electronic and shipping. The international oil price problems cause attention recently. In the past, when oil price decreased, many people used the petroleum optimistically and naturally. However, in 2005, the international oil price increased continually and caused the stock market, exchange market, the gold, the prices and the oil price gearing effect, it fully confirmed the petroleum influenced the social economy formidably. This research is separated the time period into three. One is before the burst of internet bubbles, the other is after the burst of internet bubbles but before subprime lending, another is after the subprime lending. The result shows there is no cointegration between oil price and relevant stock index before the burst of internet bubbles. And there is no obvious causal relationship among oil price, plastic and electric industry, but causal relationship exists in the oil price, shipping industry and stock. However, after the subprime lending, the variation of oil price causes the stock index changes in plastic and shipping industry, and stock index of electric industry causes the oil price fluctuation, others are causal relationship each other.
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Chen, Ching-Yi, and 陳靜怡. "The relationship between Taiwan stock index oil prices and exchange rates." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/77364151488922698276.
Full textAbstract:
碩士淡江大學
財務金融學系碩士在職專班
97
This thesis studies how oil prices and exchange rates affect Taiwan stock index. The studying period covers 26 years, 1983 to 2008. Empirical data are taken from Bloomberg. Methods employed are all well developed time series methodologies. Empirical evidence from unit root test shows that all variables are stationary after difference. However, further test for the whole period suggests no long term relationships among variables but cointegration were detected once we divided whole studying period into subperiods except for 1988 to 2001. Granger causality tests reveal that stock index leads exchange rate while no feedback effect is found for the period from 1983 to 1988. As to 2001 to 2008, feedback relationships were found for stock index and exchange rate. In addition, oil price shows its impacts on stock index. What more interesting is the finding of positive correlation between oil price and stock index. It is contradict to the intuitive thinking that oil is a major cost of companies which will in turn lower profits of them given rising oil prices. A possible explanation is that the effect of economic growth outweighs the negative impacts of oil price. Impulse response analysis and ANOVA are conducted. In short, we find that the impacts of those three variables are all limit to themselves.
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Chen, Bing-An, and 陳炳安. "The Relationship between Oil Price and Stock Prices with Structural Breaks." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/15134539141773018310.
Full textAbstract:
碩士國立高雄應用科技大學
金融資訊研究所
95
The aim of this paper, differing from previous literature, is to examine whether regime changes have broken down the stability of the relationship between oil price and stock prices. Employing the unit root tests of Zivot and Andrews(1992) and the cointegration tests of Gregory and Hansen (1996) allowing for a structural break, the purpose of empirical evidence is to examine the long run equilibrium relationship between Taiwan stock prices and international oil price and U.S. stock prices. The structural breaking timing of Taiwan stock prices, international oil price and U.S. stock prices are 2001-2005, 2004 and 2001 respectively. Besides, the variance decomposition of forecast errors and impact response analyses are used to assess the relative importance of oil spot price and oil future price shocks to the volatility of other variables in the system.
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Chen, Lung-Chung, and 陳隆昌. "Nonlinearity of Oil Price and Stock Price Returns in US Market." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/37877492895392824855.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
93
With the coming of increased needs on international commodities, oil price movement has surely been focused on because it is certainly one of the most important and popular commodities in the world. It goes without saying that the importance of the relationship between oil price returns to stock price returns . In this paper, we are trying to use Nymex nearest oil futures prices and Dow Jones Industrial Index as the samples during the periods of 1995-2004 to discuss nonlinearities and causality relationship between these both financial markets. In order to understand the possible nonlinear relationships between oil price returns and stock price returns, we tried to use nonlinear and linear unit roots tests as the comparison to test the stationary of all the data bases, then we further used threshold cointegration and threshold error-correction model to understand long-term equilibrium relationship and causality while it is up or down of the pre-tested threshold through the choice of optimized module of MTAR or TAR. Through experimental results, we found that these time series of both financial markets are stationary after first differential however they are non-stationary for the original samples no matter by traditional or nonlinear unit roots tests. And both of the variables have asymmetrical long-term equilibrium after the testing of nonlinear threshold coin-integration. We further used threshold error-correction model and found that one way causality relationship, in the short-run, existed on stock price returns to oil price returns, which is the same result shown in Cetin’s (2002) paper. However, in the long-run ,one way causality relationship existed on oil price returns to stock price returns.
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LEE, CHIA-CHEN, and 李佳蓁. "On Predictive Power of Oil Price Changes for Taiwan Stock Returns." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/8r253m.
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Ko, Chin-Hsin, and 柯志欣. "The impact of Crude Oil price index to Taiwan stock Exchange." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/96271934962810505452.
Full textAbstract:
碩士國立臺灣大學
經濟學研究所
104
The purpose of this paper is to investigate whether oil prices have an asymmetric impact on the stock market. First,we use semi-structured self SVAR (semi-structural var) model to identify endogenous structural crude oil supply shock, oil demand and speculative demand shocks. Then we separate each shocks into increase and decrease parts to discuss whether the shocks of oil prices changes will cause asymmetric influence on the stock market. It means that there is significant influence on stock price as oil prices rise and no significant influence as oil prices fall. Otherwise, there is no significant influence on stock price as oil prices rise and significant influence as oil prices fall.
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Lee, Chih-Yuan, and 李致源. "The Influence of Oil Prices on Airlines Stock Prices in Taiwan." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/59113738793230221798.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
104
The study takes an insight into the non-linear impact of crude oil spot price on China Airlines and EVA Airlines with smooth transition model (STR) provided by Granger and Teräsvirta (1993) and Teräsvirta (1994). Further, the study establishes two logistical smooth transition regression (LSTR) with two dependent variables –the stock price of China Airlines (CA) and EVA Airlines (EVA), called model CA and model EVA. In both models, Crude Oil Brent spot price is a major independent variable and also used as a transition variable. Other independent variables are used as control variables, including Crude Oil Dubai price, Index of Export Orders, and exchange rate, USD/TWD. The results indicate that the two smooth transition threshold are 82.5384 USD per barrel in the model CA and 79.8286 USD per barrel in the model EVA. Brent has a significantly negative impact on the CA and EVA above the threshold. The same outcome can be seen on Crude Oil Dubai price, which have significantly negative impacts on the CA and EVA above the threshold. Furthermore, Index of Export Orders has a significantly positive impact on the CA and EVA below the threshold, and becomes negative above the threshold. Finally, USD/TWD have an insignificant impacts on two dependent variables.