Title page for etd-0814106-143854


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URN etd-0814106-143854
Author Chi-yao Houng
Author's Email Address bufflo-charlie@yahoo.com.tw
Statistics This thesis had been viewed 5346 times. Download 3882 times.
Department Finance
Year 2005
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Interaction between crude oil price and Dow Jones Index on integrated oil and gas company
Date of Defense 2006-05-29
Page Count 86
Keyword
  • oil
  • integrated oil and gas companies
  • Abstract The crude oil is one of the major energy resources in our lifetime and plays its crucial role in our economy. How the stock prices of the oil industry will react to the foreseeable rising price that is important issue needed to be investigated.
      This research analyzes the relationship among oil price、Spread、Dow Jones Index and five integrated oil and gas companies which are traded in NYSE. We found that the stock prices of all five companies were not related to Dow Jones Index and themselves according to the Granger-Causality test. We also found that the movement of Exxon’s stock prices has significantly impact on the stock prices of the other four oil companies based on the results of the impulse function.
      In the long run, the five company’s stock prices, oil price and Spread are jointly cointergrated, but not for only five companies considered. According to the VECM (Vector Error Correction Model), Spread could affect the changes in five oil company’s stocks in short run, but not vice versus. It may explain that the investor would pay more attention on the future volatility of oil price into their investment strategies.
    Advisory Committee
  • chen jia rong - chair
  • chen ming ji - co-chair
  • Chen,Yueh H. - advisor
  • Files
  • etd-0814106-143854.pdf
  • indicate access worldwide
    Date of Submission 2006-08-14

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