原油價格與原油產業指數之動態關係：厚尾跳躍模型之應用

The Dynamic Relationships between Oil Prices and Oil Industry Equity Indices: An Application o Jump Model with Fat Tail Distribution

10.6985/TBFQ.200909.0087

鄒易凭(Yi-Pin Tzou)；白東岳(Tung-Yueh Pai)

原油現貨 ； 原油產業指數 ； 厚尾分配 ； 跳躍 ； 波動 ； Crude oil ； Oil Industries Equity Indices ； Fat tail distribution ； Jump ； Volatility

台灣金融財務季刊

10卷3期（2009 / 09 / 01）

87 - 111

繁體中文

本文運用厚尾分配之跳躍模型，探討原油現貨於高、低報酬對各原油敏感性產業指數波動性之影響。實證結果發現，單以常態跳躍模型估計並不足以描述其波動行為，採厚尾分配進行估計高原油現貨報酬有利於原油上游產業，對航運與運輸產業呈負向影響，然原油現貨低報酬時，僅對航運產業有負向影響；代表原油現貨報酬對其相關產業的報酬之正、負衝擊是具不對稱性。因此提供投資組合多樣化選擇的機會，投資策略為原油現貨於高報酬時，交易者宜選擇原油產業指數成分中的原油探勘、採集公司投資，配合原油現貨所致的波動性；進一步市場中的交易者對於現貨報酬所致波動之不對稱性，可透過金融市場中的財務工具規避風險或獲利。

This paper utilizes ARJI model with Fat Tail distribution assumption to investigate the dynamic relationship to high/low return of oil spot and oil sensitive industry indices. We incorporate Fat Tail distribution to capture the response of price volatility to a change in oil return behavior. High oil returns lead to increase in the stock index of companies are engaged in oil exploration, refining, and marketing, and lead to decrease in the stock index of engaged in airline, transportation. However, low oil returns have significant effect in airline industries. It implies the volatility impulse of oil spot return is asymmetric. The results of the study could offer more opportunities for portfolio diversification. This suggests that trader has a matching high/low returns and volatilities of oil spot to choose stocks of the oil exploration, production companies. Moreover, the oil market’s traders has matching volatility asymmetric effect with return of oil high/low spot price should also provide insightful investment information to averse or hedge volatility and those who gain from trading.

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