The Relationship Between Crude Oil Price and Stock Index: MIST

原油價格與股票指數的關連性：墨西哥、印尼、南韓、土耳其

何亮君(Liang-Chun Ho)

墨西哥 ； 印尼 ； 南韓 ； 土耳其 ； 股價指數 ； 原油價格 ； Mexico ； Indonesia ； South Korea ； Turkey ； Stock index ； Crude oil price

修平學報

31期（2015 / 10 / 01）

29 - 42

英文

本研究以TAR/MTAR 門檻模型探討墨西哥、印尼、南韓、土耳其之股價指數與原油現貨價格的關連性，研究期間為2000 年1月至2013 年10月。本研究的實證結果發現，雖然於因果檢測結果中，只有墨西哥與韓國的股價指數與油價具有連動；但TAR/MTAR 的檢測結果，F_c皆為顯著，表示長期共整合存在於墨西哥、印尼、南韓、土耳其等四國的股價指數與原油現貨價格之間；且在MTAR模型中，F_a呈現顯著於墨西哥、印尼、南韓、土耳其等四國之股價指數與原油現貨價格，即存有對稱共整合關係。

This paper uses TAR/MTAR nonlinear model to test cointegration relationship and causality relationship between crude oil price and stock index for Mexico, Indonesia, South Korea and Turkey, i.e. the ＂MIST＂. The term MIST is popularized by Goldman Sachs. The studied period is from January 2000 to October 2013, and the Chow breakpoint test and the Quandt-Andrews unknown breakpoint test are used to examine structural changes. The results of this paper show that only WTI spot price is able to affect the stock index in Mexico and South Korea in causality test. The results of cointegration test show that there are long-running cointegration relationships between the stock indexes of MIST and WTI sport prices, and there are symmetrical cointegration relationship between WTI sport prices and the stock indexes of Mexico, Indonesia, South Korea and Turkey.

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